"Did they all convert to Episcopalians ?"
I don't know about that. I first heard the expression "God's Frozen People" many years ago, from a Jewish couple who were good friends with my parents and lived in upstate New York. A play on "God's Chosen People."
Timocrat is referring to a nickname Episcopalians have for themselves, the “Frozen Chosen.” Probably a reference to the lack of spiritual activity in most Episcopal churches.