Not likely, but good luck looking for a small one in snow, especially over a couple inches deep if you go down hard. Depends on how hard it's snowing too.
I fly 250 class FPV in the snow. If your FC , camera, VTx, ESC's have control boards with circuits exposed, they could short. You are right snow is actually water. I use liquid tape on my exposed boards ( XCorrosion) will work also. You will need to seal the ends of your ESC Shrink wraps also.
To be sure you don't short anything....unplug your lipo first after finding your quad in the snow. I have crashed in snow and have never shorted anything as long as the weather kept the snow frozen, once it starts melting that's when you could have problems.
here's a great link http://flitetest.com/articles/waterproofing-electronics