Is There A Reason...

You will be fine. It is always easier to stay warm while the Steelers are doing well. When the Steelers are ballin, you're standing, jumping around, screaming, towel waiving, etc. Its when they are stinking up the joint, and you are sitting on your hands, that it gets cold.

 

If I had a choice between Anchorage, AK and Miami...I'd choose Anchorage. I'm the opposite of the OP, I can't stand the heat and humidity. Cold doesn't bother me nearly as much as the heat. Skiing is my favorite hobby that I can only do for 3 months out of the year.

Sitting in sub zero temps for a football game would be nothing for me. It's all about proper gear, too.

 

I'm the opposite, I remember going through Minot ND during the winter while in the AF and the temp was around 20 below, not counting the wind chill. That was my first encounter with real cold weather, I was based in CA at the time (from SC though).
Was on the sunny side of the hangar smoking a cigarette and my mustache had accumulated ice from breathing. We had on appropriate gear but man that was a real eye opener regarding cold weather.

 

This is what internet is for

 

It is the idiotic drunk fans that keep me from going to games anymore.

 

In Arkansas everything soda pop related is a coke. Like You I wasn't born here so I see the Differences also. I remember working at El Chicos and Someone ordered a coke...I brought it 2 them , and they said they wanted a Dr.pepper. I said You said coke, and they said I meant Dr.pepper ...thought You knew. LoL.
My Biggest problem as a Kid was.....How much You like....LoL.
Teacher: Are You done Yet...Me: No....Teacher: Well How much You like...Me: Huh???
Teacher: Well How much You Like....Me: Well I don't like any of it....Teacher: So Your done???? Me: Huh????
LoL

 

I don't think they will ever build a domed stadium in Pittsburgh. The weather is an advantage to the team late in the season.
As for staying warm, as others have mentioned, layers. And, it also helps if the game is competitive. I was at a Sunday Night game in 2010 and the Steelers were getting smoked by the Patriots. It was amazing how much colder it got in the stadium as more and more people gave up and left.