I've seen plenty of thunder storms with snow, but has anyone seen a thunderstorm that is this cold? Check out the current condition for Twin Lakes.

Was it a rain thunderstorm? We had "thundersnow" in Boston in winter, and I've certainly been caught in graupel storms with thunder and lightning. In fact, in NV (maybe elsewhere?) much of the charge separation, which leads to lightning, is associated with the fall of ice through the cloud. Maybe there was an inversion, or occluded front?
http://en.wikipedia.org/wiki/Thundersnow

Check figure 2.14 (not sure where T was measured):
http://weather.missouri.edu/ROCS/pub/Halcomb-thesis.pdf

Was it a rain thunderstorm?

No.

In Colorado, the mountains actually have plenty of thunderstorms when it snows, but usually it is in the 20's and 30's when that happens. Most of the times in the mountains when it snows in July and August, for example, there is thunder. In fact, I don't think I've been in a snowstorm in July or August (of which I have experienced many) when there wasn't thunder.

We also can get thunder during snowstorms in winter and spring, but usually it's when it is relatively warm and before the cold air gets here. I don't think I've seen it happen when it's near 0F though.