I would say you might burn a few more calories when exercising in the cold (room or outside), but not enough to make a difference. That's only my guess, however. We get pretty cold winters up here, but I sure don't lose any more weight as compared to the other seasons.
I would place it in the same category as exercising in sweats, so that you sweat more. Just because you sweat out more fluid doesn't mean you are burning more calories.
Do or don't do; there is no try (Yoda)