Welcome to SMF Lakezumbro
There isn't a insulated heat proof blanket that I'm aware of.
You might try making a 1/4" plywood wind screen, with hinged door and vented top.
I'm in Calif, and we don't have that extreme temps here, mid 20º range is lowest it gets around here.
Last year I did smoke in the mid 20s a couple of times with no problem.
The answer is preheating, you need to preheat your MES for 2 hours at least, all that metal will get heated up, and your initial rise to set temp will be faster as well as your recovery time when you open the hatch. KEEP THE DOOR CLOSED! Forget any basting or spritzing you are just making the MES climb a steeper hill.
So preheat for 2 hours min, then add boiling water to your water tray, close the hatch get your meat ready to load and load as quick as possible. Your initial set temp will take a about 30 min to achieve or longer since it is so cold, but that is ok, just as long as it the temp is steadily rising. In fact I like to keep a record the first 2 hours of a smoke, in cold weather I will check that first hour every 10 min and write down the temps, this way I know for sure if it is climbing. I record the time, outdoor ambient, MES temp reading, my remote probe measuring internal cab temp, and the meat temp if I am using a probe for that. I know it is no fun to go out in that cold every 10 or 15 minutes, but those first 2 hours are crucial to a smoke, because it is when the meat is accepting that smoke flavor, so I want to make sure I have a steady stream of TBS.
Good luck I hope this helps