I tried to recreate this in a vanilla save and I just couldn't. I sat outside the gym in WC during a blizzard for 12 in game hours and nothing. Sims spawned by the library in their workout clothes, shivered some even turned blue, but every single one managed to hot foot it into the gym before anything tragic happened. I even went into manage worlds and added a few to my favorite households but didn't play them and saved edited reloaded and went back to the gym in a blizzard and nothing. Spawn, shiver, turn blue, run (sometimes slip and fall) go inside gym and warm up. Not one single death.
I then sat outside my house and watched walk by sims. Many turned blue in freezing and blizzard conditions in their jogging togs, but all of them made it to a spawner point and disappeared without dying. So are we sure this isn't somehow mod related?