I suspect that a bottle of water buried in snow is less likely to freeze than one left exposed to the elements on the surface, and yes, it's probably because dry snow is a pretty good insulator, and the temperature within it stays more constant, whereas the surface temperature can fall dramatically at night, and cooling can be assisted by winds. The same reason why plants buried by snow are protected from deep frost, and why some small mammals take advantage of snow cover in winter and live beneath the snow pack (that and the protection from predators, although some are perfectly capable of finding and catching animals beneath the pack...)