No effect whatsoever.
There is nothing in the shells to "freeze".
Condensation has to come from the atmosphere.
The only place there is any appreciable amount of "atmosphere" inside your shotgun shell is in the cushioning section of the wad, and there is not very much there.
The wad is down tight against the powder (or SHOULD BE), the powder is packed tight (OR SHOULD BE), excluding (almost) all air.
You need a LOT of air, or an incredible amount of moisture in a small amount of air, to get any remotely interesting amount of "condensation" on anything.
You have a 10,000 (or more) worse possibility of a frozen hard plastic wad cracking at some point in it's construction when suddenly hit with 11,000psi of pressure, folding it up (I have seen cracked Remington Power Pistons), than you have of a 'condensation risk' inside the loaded hull.