There are many things that contribute to a pot being 'frost proof,' including how the clay is formulated, how its fired, the actual construction of the pot, and what sort of soil you are using.
A clay body has several components, the actual CLAY components (which can be from different sources) as well as things like grog (clay that has been pre-fired and ground up before being added back into the clay,) sand, colorants, chemicals added to adjust workability, and even oddball things like paper fibers. The actual "clay" is weathered stone powder, mixed by nature and deposited usually in water. The purest clay is white, and it picks up things like iron oxide (which makes clay red) and sand as it moves from the original source to wherever its deposited. The simple version is all of these ingredients contribute to the characteristics of the clay when its properly fired. There are 3 basic types of clay, earthenware, stoneware, and porcelain. Earthenware is not generally well vitrified, so not suitable for bonsai. It is what many terracotta flowerpots are made of, and will hold moisture quite well so if it freezes bits will pop off and the pot will just not hold up long-term. Stoneware and porcelain however both work quite well for bonsai pots.
A properly formulated stoneware clay body can be designed to do different things. Some clay is designed to allow water and air to escape and let a sculptural piece be fired without blowing up or let it be worked far past where 'normal' clay would be workable. For the most part, these clay bodies stay fairly porous even if fully vitrified, making them poor choices for bonsai pots. Unfortunately these are usually the most 'fun' looking clays because they're groggy and rough! Porcelain, which is a fairly pure clay with few 'extras' is usually stark white, which isn't very desirable for bonsai, and its a real PAIN IN THE ... um, ANATOMY to work with. Other clay can be formulated for color, texture, or final use. Most of the clay I prefer has iron oxide and various other things that give it color, as well as ball clay and some grog and/or sand that gives it better workability and firing characteristics. This clay is designed for functional pieces such as kitchen ware and pots.
Clay bodies that are properly fired have a known set of characteristics, and for bonsai pots the most important one is the 'average water absorption' (or porosity) of the final finished piece. The lower this number, the more frost resistant a piece will be. Sculptural clays have an average absorption around 10% (sometimes higher, sometimes lower), porcelain is usually less than .5% absorption, and most functional clays (for kitchen ware and things like bonsai pots) fall in the range of .5% to 3.0%. At this absorption, very little water is in the clay and it doesn't start to flake apart in freeze/thaw cycles. It should last for years of use as a bonsai pot. It doesn't matter what cone a clay fires to, you can find clay that has a usable low absorption at cone 5-6 and at cone 10. I personally use cone 5-6 because its a lot easier on the kiln and my electric bill for the same usability.
The actual construction of the pot and make up of your soil can be critical to how 'frost proof' a pot is because if your soil mass holds a lot of water, it will expand as it freezes. Water physically expands as it freezes (bla bla bla, insert jargon here about chemical structures and crystal lattice structure and volume changes. Or go look it up if you want!) so if the pot doesn't drain well or if its designed so the expanding soil and root ball has nowhere to go, this expansion can literally rip a pot apart from the inside. But if the pot is well built, and the soil drains properly so it has lots of air spaces between particles, freezing is less likely to destroy the pot.
SO, if you want to build your own bonsai pot, you need a clay body that fires up with a low water absorption percent, a good workability, and a nice color. Then build your pot with good technique, fire it properly, use good soil, and you should have a pot that will last for many years! Well, as long as you don't drop it!