I had a similar problem(never tried boosting while cold tho...) but when my car was running temp i was getting spark blow out(would go rich and flucuate). Re gapped my plugs to .028''. and now its fine. Holds steady AFR under 15psi. No breaking up what so ever.
It's not about boosting while it is cold outside, but while the engine is cold (not up to operating temp). You don't want to push the engine and turbo until the oil is warm and can really lubricate everything.
^ Not why at all. Viscosity is important but not why. AFRs are are slightly off since the computer is dumping fuel and O2 is disregarded. Heat causes expansion, as the engine warms the cylinder walls push against the rings and vice versa helping with compression (you always have a bit of blowby when cold). There are a few other little things but those IMO are the most important.
+1 for ignition/plug gapping
With denso iridiums, a beefy plug wire set, and good coils my MKIII will make pass after pass at the strip in 90 degree heat. My MKIV on stock ignition will run a few passes and then start to break up once it gets hot in the engine bay, even with the plugs gapped down. This is with both cars around 18-19 PSI. If I back down on the boost a bit when it gets hot it cleans up again.
A cold engine could have piston slap too. Don't wanna scuffthe skirts. Also, cold oil could hinder drain back, which would cause back pressure on the pressurized side of seals (like cam and main seals). Ive see. Rotaries push seals as well as 2js.
Btw, I've got denso iridiums (factory j30a4 Honda) gapped at 0.048" still. They only break up over 17psi on cold nights and 4th or 5th gear.