Did the Cocteau Twins really record a version of “Frosty the Snowman”?
Yes. In 1992, they recorded a version of “Frosty…” for the UK compilation CD/magazine Volume 5. It was later released with “Winter Wonderland” around Christmas, 1993, on a very limited edition Cocteau Twins CD entitled Snow. While Snow is nearly impossible to find, the two songs are available on other discs. (And if you hang out at the Gap around the holidays, you’ll almost definitely hear them.