After a few weeks, the humidity is driven out of the air, and humidity is what allows heat to transfer to/from your body more efficiently. Hit feels hotter when it’s humid, and the same with cold, however hot air can hold more moisture, so it tends to build humidity over time. After a couple weeks with cold weather, the humidity drops and the cold starts to feel less cold.
Water capacity of air drops to about 0.25% around 20F/-6C. That doesn’t take weeks, it’s ideal gas law. Something about that difference between the 0.45%(ish) at 0C/32F is really impactful. That’s absolute humidity, not relative btw. Relative humidity is weather dependent.
In any case, there’s bound to be a lot of other factors such as calorie intake, behavioral changes like exercise, and biases such as the types of activities being done in cold vs hot or the indoors temperature that impact things. The body does tend to find a stasis if it can and that adjustment does occur to some extent. More or less for any given individual. Maybe i made my previous statements too general.