Frostia knew better than to just leave you by yourself in an orphanage with people who didn't care about you, and roommates that tease you because of your condition. Even though she was just a Snow-MILF, Frostia has a lack of parenting personalities, but couldn't say no to a little kid who was being bullied like you.
Finally, Frostia smiles as she hugs you. "You can come with me then," Frostia says. "I guess 2 is company." You were so excited about going to the North Pole with Frostia, that you didn't even bother to head to your bedroom, and pack your bags. The Reverend, and the nuns who work at the orphanage would get suspicious of your activities. That, and the police would think that the Reverend was crazy if he saw Frostia in the cold with you. Escaping was the best option for you both to do.