This phenomenon is called cold-induced diuresis. In cold temperatures, peripheral blood vessels constrict, routing blood to the deeper arteries. This increases blood pressure in the core of the body (cold-induced hypertension).  The increased blood pressure in the vessels going to the kidney may slightly increase renal filtration rate and thus potentially cause more urine to be made. However, there are regulatory mechansisms that maintain filtration rate at a fairly constant level even if blood pressure changes, so this is not likely to increase urine output very significantly. However, blood pressure is controlled by the endocrine system through a variety of hormones (renin, aldosterone, antidiuretic hormone/vasopressin). The high blood pressure will trigger the release of these hormones, which increase urine output by reducing the reabsorption of water from the kidney back into the blood. Less reabsorption means greater urine volume and more frequent urination.