That's a very interesting question (cold fingers on capacitive touch screen). I've seen calloused fingers not work, hands with lotion, and even a small percentage of people with no known explanation. But I've never had to figure out cold before.
For a capacitive touch screen to work, a nearby object needs to draw off some of the projected voltage field. The human body is a conductive bunch of near-surface blood vessels surrounding mostly water. (Basically a huge skin device, which for self-capacitance calculations is roughly equivalent to a six foot diameter sphere full of H2O.)
We know that the blood vessels near the surface of the skin close up with the cold (your fingers feel cold and look blue). Without the blood, the surface conductivity goes down. So a plausible theory could be that your fingers have have become more of a insulator, just as with wearing most gloves.
It doesn't seem that just a little cold should affect most people, though. Perhaps your fingers are extra sensitive to the chill.