It's most likely the fluid freezing up. Not becoming a solid block of ice, but becoming sludge like. My 2004 RX-8 was horrible for this. As soon as it dipped below -20 getting into any gear basically required double clutching and a lot of elbow grease. My 1990 MX-5 was not a fan of cold shifting either.
My WRXs didn't have this issue and neither does the Mazda2. I guess it's hit or miss depending on the car, design, fluid, etc.