Donna uses the phrase, "it will be a cold day in Bermuda" before she'd come to work for Ewing Oil in an ironic way, as in "a cold day in hell before I'd..." Just like hell would never freeze over, Bermuda sits well outside of the tropical region on roughly the same latitude as Cape Hatteras, NC. While it's rarely frigid there, Bermuda actually does have some cold snaps from time to time.