As others have explained, the change in skin color when trichloroacetic acid (TCA) is used on the skin is the chemical equivalent of heating the albumin in egg whites--these proteins turn from clear to white. In this (chemical peel) usage, frost refers to color, not temperature. In a chemical (TCA) peel, the change in the surface proteins is chemical, not thermal, though it certainly "feels" hot as the nerve endings are stimulated by the acid "burn."
One important fact is that the degree of whiteness is an outward manifestation of how thorough the proteins are being denatured, related to the strength and duration of the acid application. The dead outer layer of denatured proteins slough off after a few days (the "peel") and the living dermis and epithelial cells in the skin adnexal structures (hair follicles and sweat glands) produce both collagen and elastic fibers in the dermis as a new epithelial surface forms on top of it, just like healing a blister or superficial burn.
Just like a thermal burn, the depth of injury determines the degree of healing, and the amount of wrinkle tightening. (Too-deep tissue damage, or deepening the injury with infection or drying can cause scarring, just as a too-deep burn can.) The new cells also must return from the dark peeled color, to red/pink, to normal skin color that can be more even-toned than prior to the peel.
The blue color in the Obagi Blue Peel is just one doctor's (very successful) way of modifying the peel chemicals to try to better control peel depth and safety. But the active ingredient is still TCA.