Lightning and thunder during a snow storm is uncommon. As far as I know, more uncommon than during a typical rain storm. Why is this? I speculate it might be one, or both, of the following two ideas, one having to do with a change in the dielectric, the other having to do with a change in the catalyst.
I can't point to a definitive reference, but my recollection is that thunderstorms are associated with a lower layer of warm air rising rapidly through an upper layer of cold air. It's the rapid vertical transport that generates the static charge and hence the lightening. In winter it's rare to get these atmospheric conditions.
So it's not that there's something special about snow that stops lightening, it's that the atmospheric conditions in very cold weather aren't conducive (no pun intended :-) to lightening.