No matter where you live, there is no reason that any pellet grill cannot be used all year round.

However, depending on the type of pellet grill you have, pellet consumption during the colder months of the year could increase considerably.

Some pellet grills/smokers are better suited to cold weather use than others. For instance, some pellet grills/smokers feature twin-wall insulated construction which will keep the temperature across the cooking chamber more consistent and reduce pellet consumption.

For pellet grills/smokers that are not twin-will insulated, you can typically get an insulated blanket from the manufacturer, which is essentially a coat for the pellet grill/smoker. However, its a special coat that's also flame resistant and won't catch fire. 

Ceramic pellet grills/smokers also perform well all year round due to their ability to hold onto heat better than steel BBQs, even twin-wall insulated BBQs.