The recently published Yale Book of Quotations, which has more quotes from
Twain than anyone other than Shakespeare and the Bible, has the following:

Anywhere is better than Paris.  Paris the cold, Paris the drizzly, Paris
the rainy, Paris the damnable.  More than a hundred years ago someone
asked Quin, "Did you ever _see_ such a winter in all your life before?"
"Yes," said he, "Last summer."  I judge he spent his summer in Paris.
  Mark Twain, Letter to Lucius Fairchild, 28 Apr. 1880.  This letter
is the closest source that has been found for the saying, frequently
credited to Twain, that "The coldest winter I ever spent was a summer in
San Francisco."  The Quin referred to was an eighteenth-century actor and
wit.

Fred Shapiro