Providing domestic poultry/game birds with a heat source during winter is dangerous. If provided with a heat lamp or other heating device they will not grow a sufficient amount of down to tolerate your ambient weather. If you heated a flock through a cold winter and the power were to go out, they would freeze to death pretty fast. Any species of quail commonly kept in the states will tolerate weather down to 0 degrees as long as they are kept dry and drafts are blocked out.
The only exception in commonly kept quail are button quail which need to be kept above 45* F because they are adapted to a much warmer climate.
Valley quail range through many high elevation areas of the Sierra Nevada mountains, bobwhites are native to Wisconsin and Minnesota (although rare there today), the largest wild coturnix population is in northern China, and Russia. They are well adapted to the cold. If you see them shivering don't worry about it, shivers are the body's natural method of heating, it doesn't mean you need to warm them up. Even my quail shiver in the winter months and I can't recall it being below 40* F more than once or twice in the last few winters.
