I speak from experience. When the weather is extremely cold, around 0 F or so, I cannot breathe in it for more than a couple of minutes, or I feel a pressure sensation at the end of my trachea. It is different to when I am suffering an asthma attack in that the sensation of pressure lies around the bronchial tubes, and not a point in the middle of the chest. The area where I feel pressure from breathing cold air pertains to the area in which the thymus gland lies. It causes me difficulty breathing, and pain.
It sounds like a variation of the placebo effect. Your beliefs can greatly affect your perceptions.