I'll be camping in Scandinavia during the winter, but I can't find any 1-person 4-season tents on REI or similar sites. Do these things exist?
Could it be that I can't find them because it's highly advised against? (Yikes!)
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There is at least one option from Ferrino, but I am sure there are more from "mountain" brands. Maybe you should stop looking for "4 season" and start looking for extreme/mountaineering/alpinism solutions, because high mountain expeditions usually imply low temperatures and high winds. But make sure you the tent is not an "emergency" tent.
However you are right, sleeping in a 1-person tent in winter is not recommended at all, at least if you have relatively little experience in winter camping. In e.g. -10 or -20 C it is still cold when you sleep tightly packed with your friends, and it is much worse when you are alone. And if you make a mistake letting yourself to get too cold, there may be no one around to help you. So in winter people in my area tend to travel in relatively big groups and (if possible) to have a log stove inside their tent, which is obviously impossible with a small tent (please don't take this as an advice to burn any kind of stove inside you tent, it is always very risky).
If you still want to try, then there are some key points that you will want to check when shopping for your tent: