it is rare, but

it can happen.
Thunderstorms need relatively "warm and humid" air currents to form. Apparently, in winter time, this is not like the case (when snow falls).
However, the lower ground current can be relatively "warmer" than high altitude clouds and a similar motion can possibly form just like summer time thunderstorms. It is just pretty rare, and even if formed, it is also small and short, because the condition won't be met as widely as in summer time.
I remember I personally met a heavy thunder-snow-storm when I was in Pitt*****urgh PA. The sky suddenly got dark and a blast of thunder almost deafened me and then heavy snow fell (I could not even see the traffic lights a few yards away at time around 4 pm.).