We have a small Class C, but it has about a 26,000 BTU propane furnace in it. The air coming out of it's multiple outlets is very hot ... I can't imagine it not being able to cook us out in just any kind of expected outside temperatures if we set it high enough and could tolerate the sound from it's long run-cycles. We would just need the propane capacity and electrical capacity to keep it going through the coldest of temperatures ... which could especially be a problem when camping without hookups and not near propane sources and/or when not using extend-a-stay portable propane tank adaptors.
Combine a small RV with double pain windows, with methods to keep the tanks from freezing, and with plenty of electrical and propane capacity .... and I can't imagine not being comfortable in very low outside temperatures. Probably "a small RV" is the most important thing for cold weather comfort. Mega-RVs in cold weather could be a problem, just like mega-houses and castles can be tough to keep affordably comfortable in the extreme cold. Also to not forget - fresh air ventilation of the interior must be maintained even in cold temperatures, so roof vents (with protective covers over them) should not be left completely closed or blocked off for too many hours in a row when staying in the relatively confined space of an RV for any length of time.