Well, vampire's ARE undead, so they would probably have a problem keeping what few fluids they have from freezing. I've never heard of that being one of their weaknesses, but I'm no expert.
Most undead myths state them having an affinity to the cold. Cold and winter was synonymous with death in old Europe. Of course Remilia isn't really based off European myths
tatteredking said: Of course Remilia isn't really based off European myths
Actually, she's one of the very few characters in the Touhou series that ARE. Although vampires have appeared in Japanese cinema since the late 1950s, the folklore behind it is western in origin. Plus, she also has a lot of Judea-Christian and Norse influences in her move set.