Yeah you are right but when i drink in cold weather i never get cold weird maybe my psychology idk.
Temperature sensors in your skin regulate muscles that constrict around your arterioles to limit blood flow to your skin when it's cold, reducing rate of heat loss.
Alcohol relaxes those muscles, increasing blood flow to your skin, warming your skin and making you feel warm.
This also means your body core, the stuff like your heart, kidneys, lungs, liver, adrenal glands and so on, are losing heat through your skin faster.
If someone's hypothermic, you can put them in a warm (not hot, just warm, like your armpit) bath up to their neck to warm them, but if they've frozen so badly they've passed out even the cores of their limbs are cold and warming their limbs with a bath so that circulation to the cores of the limbs resumes can take enough extra heat out of their core to finish them off, so unconscious victims should be lowered in butt-first, up to the neck, with helpers keeping their arms and legs out of the water until they wake up enough to complain about it.
In game terms, maybe cold should sap energy and apply another debuff, and alcohol should remove that other debuff at the expense of making you lose energy faster, and falling asleep in the open from running out of energy should cost you 24 hours.