Hi ~ I have peripheral neuropathy in my legs, and I know what you're talking about!!! When i had pool therapy when I went to physical therapy, I got much worse by getting in the pool. They said usually it's good for you, but it sure didn't do me any good!
I live in Michigan so I know all about the winters. All winter, I wear insulated underwear!! I don't care if it makes me look "pudgy" or not - if my legs get cold, the pain is unbearable!!! I don't stop wearing the long-johns until the weather is consistently 60 degrees or better!!! My circulation is fine since I had extensive tests for that, so I know it's not from that.
If I'm going to be outside for any length of time, I also wear ski pants -- that keeps the wind from penetrating & adds a little more warmth.
Best of luck this winter --- I hope you do well. God bless. Hugs, Lee