I have sunscreen in stick form that I carry in my jersey pocket to reapply. It's pretty greasy, so I think it might protect from the cold and wind better than a lotion might. Mine is Coppertone Sport, but I've seen similar products by No-Ad and Water Babies.

Also, this might be a crazy idea, but zinc oxide is an active ingredient in some sunscreens and also in some diaper rash ointments with a petroleum base. I just checked and my SPF 30 zinc oxide sunscreen is 7% zinc oxide. Rite Aid makes a petroleum based ointment that's 20% zinc oxide. I have no idea if it is clear or opaque, or if the ointment would offer comparable sun protection to a sunscreen, but it might be worth trying. I used to use plain Vaseline or Bag Balm to protect from windburn, but that left me without sunscreen. Maybe sunscreen with one of those on top would work too.