Freezing is a phase transition, a transformation from the disordered liquid phase to the ordered solid phase. As you remove heat from water at 0̊ C, the water freezes into ice rather than becoming colder.
During a cold weather, due to the decrease of temperature, the water freezes into snow. This snow layer acts like an insulating barrier (which covered by the plant) to protect the plants during cold weather.
Citrus freezes at a temperature somewhat below 0̊ C. As the cold air removes heat from the water-coated citrus, the water begins to freeze. The liquid water gives up a great deal of heat as it solidifies and prevents the fruit’s temperature from dropping below 0̊ C until the water has completely turned to ice. At that point, ice’s poor thermal conductivity insulates the citrus and slows its loss of heat to the colder air.