IMO the only reason to have true exterior nestboxes (where the nestbox protrudes from the outside of the bldg) is if you have a tiny reach-in coop where you don't want to waste floorspace on floor level boxes and there isn't enough height to raise nestboxes high enough on the wall to let chickens walk under them. In that situation, exterior boxes make sense.
If the coop is tall enough to just mount the boxes on the wall 16"+ above the floor, though, it's easier and more secure (and in the north, slightly warmer) to just use normal nestboxes. They can still be accessed from the outside via little egg doors if you really want, although in the north you'd want good weatherstripping on those doors.
Eggs don't freeze as fast as you might think, and if you insulate the walls of an exterior box and make sure it has *no* drafts, and bed the box well, you shouldn't have *too* many frozen eggs, especially not if you can collect twice a day or more.
Good luck, have fun,
Pat