I live on the coast of Lake Erie, where we get some pretty spectacular winter convection from time to time. Thunder snow/sleet is not uncommon here. I've always wondered about something like this, and this is how I've got it figured from my limited forecasting experience.
Convection can occur at any temperature, you only need an appropriately strong vertical temperature gradient. For a supercell, besides that convection, you need moisture (a problem in winter but not impossible. Lake effect, for instance) and a properly sheared wind field. If any of you guys have ever looked at a really wicked winter storm, the hodographs are often some of the most beautiful and deep curves I've ever seen, so I would think that's also possible. There are lots of other variables, but those are the big ones, so just for argument's sake, lets say it is theoretically possible.
My one big question is, given the fairly vigorous nature of the updraft in a supercell, even if the entire storm existed in a below-freezing environment, would it really be snow? I would almost think that the updraft would result in sleet or some other form of heavier precip, though I suppose if some of the precip formation happened closer to the top of the storm, it might not be quite so nasty an environment for a delicate snow fake, and could result in some snow/sleet/hail mix.
I've seen some pretty spectacular thunderstorms producing copious amounts of sleet, complete with CG and a gust front. What says it couldn't rotate in the right wind fields?
As an interesting side note, in December we had a pretty nasty winter storm come through. It went from the high 40s to the low 30s in less than 2 hours. A tornadic supercell fired on the leading edge of the cold front, just inside the warm sector, followed closely by a *violent* squall line that produced hail, sleet, and rain, along with tons of lightning and winds approaching 70mph. In the cold pool below the squall line, temps dropped into the low 40s/high 30s almost instantly. Pretty spectacular cold core sort of setup