There is a vacuum shutoff valve attached to your steering Colum lock and then there is the vacuum shutoff valve on the Fuel Injection Pump.

If it keeps running you either shut it off with the Manual Shutoff Lever (under the hood) or disconnect and attach another hose at the vacuum shutoff on the Fuel Injection Pump and apply vacuum (some people have simply sucked on the added on hose).

When the Diaphragm inside of the Vacuum Shutoff Valve that is on the Fuel Injection Pump starts going bad it becomes porous and Oil passes through it into the Vacuum Hoses (you will find evidence of Oil inside of the Hose). I suppose when it is freezing if there is Oil in the Hose it is possible for that Oil to be too thick to allow vacuum to get to the Vacuum Shutoff Valve on the Fuel Injection Pump.

If it is the Vacuum Shutoff Valve on the Steering Colum Lock no one I can remember has reported a problem when it is freezing so when you find the answer to your problem it is going to be interesting.

__________________
84 300D, 82 Volvo 244Gl Diesel