I live in Canada where we get winter temps below zero (F or C). Lots of people keep pigeons, quail, chickens etc outdoors. One thing to be aware of is that their water freezes solid. You can get heaters for chicken and pigeon water. I've also seen heat panels which people install inside coops or aviaries if you're worried about heat. I have seen both of these items on Amazon or you can check pigeon supply sites. The main thing is to give them shelter from the wind. Another good idea is to increase the fats in their diet because it helps them to stay warm. You can do this by adding shelled sunflower seeds, unsalted raw peanut chunks or other fatty seeds to their diet.
I don't recommend styrofoam because it's toxic and they can peck it and choke on the pieces, also it's very prone to blowing away in wind. The same goes for pink insulation panels, if you use them attach them on the outside of the enclosure. If you want to provide extra insulation inside the coop, straw in the nest boxes/coop will work.