According to Google the average lows in your area are only 20sF
Definitely open up the coop wall under the roof.
They will be so much healthier with the fresh air.
The nice thing about opening up the coop wall that is under the roof, is that the roof will keep rain and snow out of the opening.
Also, the overhang should keep blasting wind out as well.
You could always keep the wall parts that you pop off and use those as covers if it gets too drafty...
Often, if all of the ventilation is in one side, the wind will not blow through.
One good way to add lots of ventilation when you have a covered run.... is take off part of the coop wall that is under the run roof and replace it with hardware cloth.