Moróz has been identified with Morozko, the pre-Christian pan-Slavic personification of the snow (an animistic spirit, god, or demon, depending on your perspective), but it is widely accepted that his companion, Snihurónka, dates back only to the 19th century, and Alexander Afanasyev's 1869 ""The Poetic Outlook of Slavs about Nature."
I have yet to resolve to my own satisfaction why this should be. Afanasyev is, effectively, the Russian equivalent of the Grimm brothers, and his folktale collection techniques, where "he never tried to give any definitive version of a folktale: so, if he gathered 7 versions of one folk type, he edited them all,"* is considered to have been intellectually sophisticated and ahead of its time. Why Snihurónka should be relegated as Afanasyev's personal invention, rather than one among many folk figures that he collected--I have not seen the scholarship that tells me this is anything other than bias against the story--the Moróz figure, in other cultures, does not have a female companion.
Very little is known definitively about Slavic mythology, but one thing that is known is that the Slavic pantheon was full of unusual gender assignments, gods who are variously represented as female or male in different times and locations, and god-pairs with male and female partners. So--why not Did Moróz and Snihurónka?