More on Frost Saints from Infoplease:

• Frost Saints - Frost Saints (See Ice Saints.) Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894 ...
• Ice Saints - Ice Saints or Frost Saints. Those saints whose days fall in what is called “the blackthorn ...
• Dictionary of Phrase and Fable: F - Definitions, origins, and illustrative excerpts for words, phases, and literary allusions starting with "F"