Even in inefficient data centers, cooling is a minority of the power expense. Chasing a few percent of better cooling efficiency at the expense of a few percent more expensive power is a net negative.

Cheap power is much more cost effective than the smaller efficiency bump you get from cold weather -- and you can also get both by locating in the midwest or northwest. Hyperscalers build here for these reasons.

Cooling is a very variable 30% cost. (IE: Iron Mountain's underground Datacenter with a flooded reservoir in the mine gets to brag about 5% of its cost being cooling, as the most extreme low end).

Up north comes with it's own issues for Datacenters. Winter low humidity (kills cable/wire insulation), chiller freeze protection can get pretty complex to set up properly (with failures causing complete destruction of some components that will need multi-ton cranes to replace), and multi-year construction projects are harder with real winters. Sure it's all perfectly manageable engineering wise, but why bother.

There's probably easier green energy credits down south, given the current viability of solar.