Once again, the reason sand is problematically cold on chickens feet is because it is highly conductive and high thermal mass; whereas shavings or straw are pretty insulating *and* do not have much "coolth" contained in them.
Look, put some sand and some shavings in the freezer, k? A bowl or empty ice-cream-tub of each. Leave 'em there overnight so the temperature equilibrates.
Now stick your left hand into the frozen sand, and your right hand into the frozen shavings. Hold them there for 5 minutes.
Now you understand ;>
Freezy sand is not much worse than freezy dirt to stand on (although if the particular dirt in question has a large amount of organic matter in it, like humusy broken-down straw or shavings, it will be less bad)... but bare frozen dirt is not a good indoor substrate EITHER in northern winters. Unless you want to learn exciting new things about treatment of frostbite and resulting losses of toes/feet. It's the same if chickens are given no alternative to walking around on frozen icy ground (not snow, I mean, but compacted *ice*).
Tennessee does not count as "cold winters" for the purposes of this discussion though -- I would be pretty surprised if you managed to have problems with sand in winter in TN, at least in most of the state.
Pat