Frosty air nipped at my exposed skin.
Meaning: It's a way of saying that the cold air caused an uncomfortable feeling on the skin.
Choice of Words: Frosty means covered in or containing frost, which is a thin layer of ice crystals that forms on surfaces when the temperature is below freezing. Air is the mixture of gases that surrounds the Earth. Nipped means to pinch or bite lightly. Exposed means not covered or protected, and skin is the outer layer of the human body. When you put them together, the sentence describes the feeling of cold air causing a tingling or biting sensation on the skin that is not covered.
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Related Expressions