Playing drums in very cold conditions can potentially cause damage. The drumheads might become more brittle and prone to cracking. Similarly, the wood of the drum shell can contract, making it more susceptible to warping or cracking.
For cymbals, very cold conditions can make it more brittle and susceptible to cracking or damage. Cold temperatures can alter the metal's properties, and striking the cymbal while it's cold can increase the risk of it getting damaged.
For both drums and cymbals, It's advisable to let them gradually come to room temperature before playing it to minimize risks. It's advisable to play the drums in a more temperate environment.
If you must play in the cold, give the drums time to acclimate to the cold temperature before playing to minimize potential damage.