Not true
Speaking of that, the story goes that the Empress Anna was irritated that one Prince Golitsyn married a lovely Italian lady; she had the marriage annulled and...I'll let wikipedia tell their version:
Anna was known for her cruelty and vulgar sense of humor. She forced Prince Mikhail Alekseevich Golitsyn to become her court jester and had him married off to her unattractive Kalmyk maid Avdotya Buzheninova. To celebrate the wedding, the Empress had an ice palace measuring thirty-three feet high and eighty feet long built together with icy beds, steps, chairs, windows and even logs of ice in a fireplace of ice. Prince Golitsyn and his bride were placed in a cage atop an elephant and paraded through the streets to this structure, to spend their wedding night in the ice palace, despite it being an extremely cold night in the dead of winter. Empress Anna told the couple to make love and keep their bodies close if they did not wish to freeze to death.
They survived. It's said this marriage was a long and satisfying one.