The following is the story of the song related by someone that heard the story from Nico:
When Nico was a little girl, living with her mother in Berlin during the allied bombings of World War II, her mother decided that it was safer for the two of them to move out to the countryside and stay with Nico's maternal grandfather, who was the station master of a small train station.
One day, in the middle of winter, everything covered in snow, a train transporting Jews to a concentration camp stopped by the station. The captive Jews, in the freezing cold, unaware of the fact that they were being taken to be exterminated, saw Nico, a blonde, sweet little girl playing in the snow, and smiled and waved at her, through the breaks in the planks that covered the freight train windows. That's where Frozen Warnings comes from. A childhood memory lived in innocence, but recollected with the terrible knowledge of that human and historical tragedy.
Nico's songs often travel into the past (Julius Caesar, Ghenghis Khan, etc..) but this was a dramatic moment in history that Nico witnessed in person, with all the innocence of childhood, and the horror and drama of the mature artist who remembered the event, wrote the song, and performed it in that unique style of hers which sets her apart from everything and everybody in Rock music, and that makes her an artist - with a capital A - and not just another pretty face in "Pop" music.
I know all this because she told me, and now you have the privilege to know it too, and can appreciate even more fully this song in particular and Nico's artistic greatness in a wider sense, even if recognition for it came when she had already passed away. But that's the story of many a great artist, and the way of this world, and this world only.
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