Are there any stories about snow/ice/frost fairies?

Well, one day King Frost was trying to think of some good that he could do with his treasure; and suddenly he concluded to send some of it to his kind neighbour, Santa Claus, to buy presents of food and clothing for the poor, that they might not suffer so much when King Winter went near their homes. read more

Scary snow ice female characters yes. An ala or hala (plural: ale or hali) is a female mythological creature recorded in the folklore of Bulgarians, Macedonians, and Serbs. Ale are considered demons of bad weather whose main purpose is to lead hail-producing thunderclouds in the direction of fields, vineyards, or orchards to destroy the crops, or loot and take them away. read more

The frost fairies were so busy and so merry over their nutting frolic that they soon forgot their errand and their king's command to go quickly; but, as they played and loitered in the forest until noon, they found the reason why they were told to hasten; for although they had, as they thought, hidden the treasure so carefully, they had not secured it from the power of Mr. Sun, who was an enemy of Jack Frost, and delighted to undo his work and weaken him whenever he could. read more