A few factors come into play. I think in general almost all fuel locations have some form of winterized fuel. Truckers go through all areas of the country, and trips from south to north are not uncommon. So, what happens if someone fills up in Florida and drives to New York State? There will be some level of winterization. So, this takes some form of toll on the economy.
Next, is of course the fact that diesels aren't very efficient when cold, as they work off of compression, not spark ignition. Air + fuel + heat = ignition (including the compression of the pistons) If the heat isn't at the designed level, you have a slower burn or less complete burn.
Finally, it all depends on how you drive. In the summer in Toronto I get about 49-50 MPGs as I rarely use the A/C. In the winter I get about 47-48 MPG. It isn't a big drop..maybe 50 - 100 km/tank (like 30-55 miles per tank difference). You might also hear issues as some change to winter tires, which obviously don't get the mileage as summer tires will.