The first tale that came to my mind is "Frau Holle". It's a Grimm's tale, I am not sure if you have it too.
In this tale, it snows because a woman called "Holle" (may be related to "Hel") shakes her bedding and the feathers she shakes out of it land on the earth as snow.
Other than that we have a lot of season related folklore, especially for the darker time of the year, but I can't think of stories WHY there are seasons.