I grew up in North Dakota. I lived through some brutal winters. There's no way I could have lived in Minneapolis. The river adds a new dimension to the misery of winter.
Probably the humidity. In the western part of North Dakota, it's generally a bit dry so it doesn't _feel_ quite so cold. That's a big difference from even say, Grand Forks or Fargo which are right next to the Red River.
Also, wind. Rivers are basically winter wind tunnels