hmmmm, then maybe she isn't cold, just missing the extra cover?
in your playtime, can you practise pulling the covers over herself, making it a game. you know, something like an over the top 'brrr, it's really cold, what can we do?' and then hiding under the covers (although I wouldn't put your head under, as she might start doing that at night). also, if she has teddies/dolls she loves, you can practise tucking them in, putting the emphasis on keeping them warm.
it might take a few days, but it's all I can come up with, we did it last year, but it was Summertime