Freewheel not engaging when temperature below about -20c/-4f. What is freezing? Is it moisture/slush in the freewheel that is not evaporating because I have to keep the bike outside all winter?  Then it might freeze when the temperature goes low enough.  How long would it take to evaporate if inside at room temperature?
If the pawls will not engage the wheel will not engage.

It could be moisture freezing.  More likely the grease is just more viscous (sticky) at lower temperatures.  If you really have a freewheel (not freehub) then it is likely not serviceable.  If it is serviceable then break it down and clean it.   There is grease for bicycles and also low temperature grease.  For sure you do not want to use a generic axle grease that is designed to handle high temperature.  Use a light (low temperature) grease and accept you will need to service it more often.  Use a lot to not give moisture as much room.

If it is a non-serviceable freewheel you might free it up with WD40 but that is not really a long term solution as WD40 is more a solvent than lubricant. 

There are variations but this is the basic design