My Ram 2500 gas gets about 1 mpg less in the winter (including -43ºF, I've driven at that temperature) and that is mostly because of the crappy gas blend we have to put up with in the winter. After fluids and bearings warm up there should be little difference.. . . just like a fossil fuel car gets worse mileage in the arctic or desert . . .
Your F150 gets awful mileage at 40 below too.
What kind of milage will a Tesla get at -40º?