No- running in cold weather or 'dead of winter' doesn't effect your lungs when it is only 10-30 degrees outside.
BUT: If you live in States where the wind chills get below -10 degrees... or as in this past week, -50 degrees.
you then have public advisories that the cold is bad enough that (Quote from National weather service:) "Individuals are advised not to go outdoors, as skin, eyes and airways can freeze withing 10 minutes of exposure." and should not be running because your body can not warm the air you are breathing-in fast enough- even through a scarf or mask (You actually get ice inside your nose within 2-3 minutes!)
Yet I saw a couple of runners out- it was -17 at the time...THEY KNEW to be layered and were both wearing masks and scarves...but with long enough exposure, they could still get 'windburn' of the esophagus and bronchial tubes...causing days of sore throat, excess mucus and coughing as it heals.
Take alerts and warnings seriously!