Any answer to this, or any theories? I'd think it was just a natural phenomenon, but nothing really happens "naturally" in TES.

My favorite theory is that Atmora=Kamal, and the ancient Atmorans were the men of Akavir until they were driven out by the snow demons. Would explain why the Dragon Cult is chock full of Akaviri imagery.

It is?

Kinda.

Compare the Imperial Dragonscale cuirass from Morrowind (based on Akaviri designs) to the Dragon Priests, cultist robes, and Miraak, or Alduin's Wall to the totem murals. Looking at the concept art, Sky Haven Temple is pretty similar to the Nord barrows and word walls too, at least conceptually.

I always thought that it had something to do with Auri-El losing Atmora to the sons and daughters of Shor and later ascending to heaven (Aetherius?).

I'm sure there are various metaphors here and there which describe the absence of unflitered Divine presence after the "heat" of the Dawn as a period of cooling. The matter of the earth sets, and it stops changing shape. It would seem to me that the Winter of Atmora is just a very literal interpretation of this - no idea why in this case it doesn't apply to all of Nirn though. Possibly related to the Towers which were then already drawing creatia down onto Tamriel?

To me the Snow of Atmora has always represented the static of order-in-entropy. There are connections you could draw with Sithis, I suppose, but at the same time, it's sorta like dragon dandruff - spent flakes (or scales) of stories and centuries divorced from meaning. Or maybe it's the grey hair of Shor-Grandfather-of-Shor?