Guessing it is a breathing mask like https://www.airtrim.se/eng/default.asp to make the air you breathe in warm and moist. Common for athletes here in the Nordics. Not sure about the exact science but I remember hearing exercising outdoors starts to be bad for the lungs around -15 to -20C (5 to -4F) Because the air is so dry.
And if you have asthma it's bad even below 0 C. I use my Lungplus [1] as soon as the weather hits +5 C, makes me able to actually do something outdoors in the winter. It's just a heat exchanger in your mounth, storing heat from the exhaust air, and heating up the intake air [2] :-)