I know Bee's can generate heat by vibrating, they can generate so much they use it as a defense for the hive. Invaders get surrounded and are actually cooked to death. It's how some species have been dealing with murder hornets. Some will make a ball of bees that trade being on the outside and the inside to preserve as much of the hive as possible. Depending on where they are only the queen and a handful of drones will survive. Sometimes they all survive if they are in your attic.

As for other insects, the frost line is something like 4-6 feet below the surface so stuff like ants that live underground are completely fine. Anywhere sheltered from the wind that has biological processes will often stay above freezing. If you crack open a haybale in the middle of winter, just it rotting can cause the middle to be steaming it is so warm. People stranded on the prairies have climbed inside them to survive. Anything that is sheltered and stays out of the wind can survive 1000x longer then most people realize.

And there's eggs and larva that have natural antifreeze that just freeze no problems at all.