Well, the current abstraction of being entrained allows a unit to travel, what, 1000km in a week.
The first conclusion from that abstraction is that the unit must be considered on a train for most of that time.
The second point about the current abstraction is that as far as first winter rules are concerned, the unit is considered for attrition depending on its final hex. So if you travel those 1000km, and end that trip in a city, you are clean. Even if as far as game time is concerned, you spent about the final five mins of your week in that location. No matter, you're protected. Or if a unit enters as reinforcement on the western edge, trains to one hex inside the blizzard area, he wakes up next turn with frostbite, despite having spent five minutes in the blizzard.
Not a very pleasing abstraction, really.
Admittedly, there would be scope for abuse if the Axis can use entrainment as winter cover. So thinking about it, I have no perfect answer.