It being impossible to prove a negative, I cannot say for sure that it didn't happen somewhere. Through my 20-odd years of being a railfan, however, I can't claim that I've ever heard of such a thing, even as "an analogy for stupidity."

I can imagine places where it could be done with very light rail and very light equipment. Places above the Arctic Circle, for example, where the icepack never (or rarely) thaws. Maybe Antarctica. However, operating equipment in such unfriendly locales comes with other problems.

Now if you were talking temporary track, such as at a mine or logging camp or some place like that, I could see it being done. It wouldn't really be a railroad, however... more like a way to move cars from one place to another.

Snow just isn't strong enough to support any serious amount of weight without compacting badly... Alaska's "ice road", for example...

All of this is speculation, and therefore not really suitable for a top-level answer here at /r/askhistorians, but I suspect it's the best we'll get.