My guess is that the strongest factor is natural acclimatization (at least in the US, more black people live in southern areas) with maybe a very weak race-based physiological factor going on as well (increased heat radiation from dark skin vs light? Body morphology? Fat distribution? Body/head hair type? Who knows.)
Speaking re: acclimatization: My Aunt (white, mother’s sister) grew up in the same weather climate (Madison, WI) as I did. She moved south a while back. After living there for about a decade, she visited us in Madison. This was early March some years back.
With temps in the 50s, I was loving it outside in a t-shirt and jeans. She was bundled up in full winter gear (heavy coat, hat, scarf, mittens) and was absolutely miserably freezing cold.
And of course the counter examples. There are black people in colder climes (shock!) and at least the ones I know and work with deal with and dress for the cold about the same as everybody else. And I’ve heard no complaints about the office being kept in the low 70s in winter.