I was in Mexico last week near Cancun and observed exactly that. I always saw the locals with jeans and a nice shirt. There's no way I could do that in 85F weather.
Then there are locals who wear heavy black-cotton pants and poly-blend long-sleeve button-up shirts while walking around the asphalt streets on hot-humid days. They make me want to pass out :)
I think most of ^^ are actually corporate dress-codes (plus perhaps lack of resources to buy non-work clothes) but I've not had reason to strike up a conversation about that.
I lived in central Africa for four years after growing up in New England. Adjusting to the climate was partly just a matter of time there, but also learning the unwritten rules. For example, if I met a friend on the street, we would not even think of starting to chat in direct sunlight, we would always look for some shade first. I also learned to walk much more slowly and really minimize the heat that my body was generating.
Vice versa, I have now lived in Vermont for twenty years and every year I am amazed how I start looking in my closet for a jacket the first evening that it hits 40 degrees, and yet the same temperature in February means my kids are wearing shorts and t-shirts to school that day and I am grilling steaks in flip-flops.