How would cold damage em? Would it like do something to the mercury?
No, it won't hurt the mercury. I'm thinking more along the lines of stress fractures due to cold - maybe there's an imperfection in the glass, and stuff like ring-off cracks at the end..
(ends of the lamp are probably the weakest point, you have a couple pieces of glass that were joined together, plus bends/curves in glass, plus metal & glass joined together.)
Not I'm also talking bitter cold - single digits (F) and especially below zero - not simply "cold" as in 30's or 20's.
If you don't get really cold like that, I wouldn't worry about it.
Also lamps are designed to take heat! - they'll get way hotter in operation than they ever will stored in a shed during summer. They may or may-not be specifically designed to take bitter cold temperatures - other than "cold rated" lamps.