I'd expect that difference to be driven by sunlight amount rather than by temperature.
Cold is easier to deal with than dark and gloomy when I go to work and dark and gloomy when I come home.
I'm curious if they controlled for sunlight then. I'm in a mountainous area and many areas (like where my house is) have mountains blocking sunlight for multiple hours in a day. Couple that with being in a wooded area and even some summer days can feel dark and gloomy. But in my case, being surrounded by nature far outweighs the lack of light in terms of depression.
People who live at altitude in the US western states, particularly in cities, generally have high levels of insolation.