you don't want to stretch in a cold room.. that is why yoga is done at room temperature or in a hot setting.
if you are doing resistance training you want to also stay at room temp, not cold
if it is cardio training in a hot setting is counter productive.. i SMH when i see people running in 90 degree heat. you are actually HURTING yourself, not helping.. and no it doesn't toughen you up, it just wears your body down. NFL coaches started realizing pounding their players in the heat was stupid in the 80s.. bill walsh figured that out and his teams always finished seasons strong because he didn't pound them