When you pee in a freezing environment, you can see the warmth coming out of it by evaporation. So it might seem that holding the pee as long as possible actually helps you prevent from getting even colder through time.

So one could say that it would be wise to keep the pee in your bladder as long as possible in a freezing environment, since your body has higher total heat energy, thus it gets cold slower.

Are there any health risks from holding your pee too long?