If you are willing to look around for something used, Canadian manufacturer Bigfoot used to make a series of Class C models that were designed for four-season use. They have since cut back to making only truck campers and travel trailers.
Motorcoach converters will build for four-season use, they do this for many of professional travel coaches that move bands, stage crews, pop stars around and those that get used as dressing rooms for movie locations (although that market has been moving toward semi-trailers). Typical use of these travel coaches, however, is that they are never shut down while occupied, using the main engine or a large generator as source of power and heat. Not really RVs, and expensive (high six figures or low seven figures when new). Similar costs apply to custom RV conversions of motorcoaches.
Otherwise, look at high-end Class A motorhomes. I know Newell Coach builds for four-season use. The factory has a few 7-8 year old used coaches for sale at $800,000 to $900,000 (a new one will be in the neighborhood of $2,000,000).