I did a pond in the summer in Missouri. It is not impossible, but it is a lot of work and expense that you will have no idea about until the costs come. I thought that I was prepared, but I had no idea.
Mine was a few thousand gallons. Leaves/grass/flower petals, etc. where a pain - even with mesh cover. Birds were just SO stupid trying to dive into it, bathe and all kinds of things including pooping in it - even with the mesh cover. It got hot - I had to plumb it into my larger system and my chiller could handle it, but i had to move the chiller outside since it ran much longer and heated my basement up. We saw a few snakes in there - harmless. Most of the equipment still had to be in my basement since it is not really made for all-weather (plugs and stuff) - I had some Mag Drive 1200 type of pumps as powerheads (really good at this) and I had to wrap their plugs up in waterproof bags and stuff.
I would have no idea how to keep this warm - I imagine it would take a few hot tub heaters at 30 amp 220v and a cover in the winter, which is no good for the corals? I am just guessing here.
Sometimes, storms would move through and dump an inch or two of rain, which I just had to eat in the whole system - it was not detrimental, but it worried me a lot. Sometimes the wind from these storms would blow out saltwater which made my grass mad.
If you have this inkling, my first advice would be to get a frag flat (hyrdo tub) and figure out how to add it to your system in the warm months. See how this goes. You can take it up and down if you need to.
On a positive, the sunlight can REALLY grow some corals and they look good.