There are two reasons you may need to increase the calories from fat in your diet in extreme cold weather.
1. Fat contains twice as many calories per unit weight as protein or carbohydrate. It is the most caloric dense food molecule for our bodies; however, it contributes virtually no other necessary nutrients we need except:
2. Mammals (including humans) do not posess the mechanism to synthesize fatty acid chains above 9 carbons so must gain them from their diet. These lipids are necessary in development of membranes and some specialized tissues in the body. The two most important to gain from our diet are linoleic (18:2) and linolenic (18:3). These are abundant in the fats of both animals and vegetable matter (nuts, oil seeds, etc.) You don't need a ton of these two essential fatty acids, but you do need some, from your diet.
Some work I, and others, did while in the Army indicated the standard combat ration of 3600 kcal/day was not enough for fighting in Arctic conditions. An increase to 4500 kcal was required. This was enough extra to allow the body to stay warm while still satisfying the needed energy for combat.
In cold weather conditions, it is acceptable to increase one's calories from fat from the normal 30% to 40 to 50% for short periods of time (days to a week, not months).
Do not think in terms of eating only fat, think more of how you can supplement a good, healthy diet with a bit more fat. Many good food stuffs have already been mentioned peanuts & peanut butter, nuts, seeds, dairy products, meats, etc.
Pemmican was basically dried game animal muscle tissue, pounded or ground into almost a powder, and mixed with rendered animal fat. Sometimes it included dried, pounded berries or nuts. It is easy to carry, relatively nutritious (except for the high fat content), but the fat is usually rancid and the oxidized flavors are not appreciated by many. As a lower cholesterol alternative, this product can be made from vegetable fats as well a sort of peanut butter coated gorp ball. I think I heard of this technique first on this forum some years ago.
Bottom line, don't substitute fats for proteins and carbohydrates just increase the amount of fats (vegetable or animal) when required in a cold climate.