Confirmed Frost levels (from Holiday Lemmings 94):
Frost: 2, 3, 4, 5, 8, 9, 13, 14, 15*, 16
1, 6 and 11 are definitely impossible due to amount of walking required (ie. adding/removing terrain to provide a free path to exit and at RR 99, the lemmings still won't reach the exit in time, not even close). 12 is also almost certainly impossible, as the limited skills seem to enforce the one and only intended solution which is far too slow.
This leaves 7, 10 and 15 as the only ones I'm still investigating. 15 definitely cannot be done in Lemmix because again, the amount of walking alone has the clock at 3-59 by the time the last lemming exits, and only 96% at 4-00 (you need 98%). But that's still within reach in the actual game if you use the pause glitch. That said, you still don't have much spare time, consequently requiring you to start at a fairly high RR fairly early in the level, which may prove problematic.
[edit: adding 15 to the list with a "*" to indicate the need for the pause trick]