Have you ever heard of "thundersnow"? Maybe you've seen the Jim Cantore gif where gets REALLY excited about experiencing thundersnow...
To a meteorologist this is THE winter phenomenon you want to see; I (Hannah) know at least a dozen meteorologists who say this is on their bucket list. It's basically just a thunderstorm, but instead of rain it's snow. In the summer warm air rises from the ground to create and feed the thunderstorm. Here's a simple, visual explanation from the National Oceanic and Atmospheric Administration.
In the winter the air is cold and more dense, so it has trouble rising the same way. Instead you need even colder, denser air to move in over top of that surface layer to create the friction needed to develop the thunder and lightning. That's why thundersnow is pretty rare; it takes a specific set of circumstances all coming together in the right way to make this happen. Thunder also sounds different in the cold, dense air with snow falling than it does in the summer.
