Most pellet grills have a minimum temperature setting of 180 degrees. Therefore, even on their lowest setting cold smoking (70 to 80 degrees) cold smoking is going to be tricky.

Now, on a vertical pellet smoker you maybe able to cold smoke if you placed a couple of trays of cold water/ice in the lower racks and the food you were trying to cold smoke on the upper racks.

There are pellet grills such as the Camp Chef Woodwind Pro where you can cold smoke with the Smoke Box as you can set the pellet grill to fan mode, hence the pellet fire isn't actually providing heat.