Warm is relative term. If it's 10° below zero and -30 with the wind chill, you will automatically feel 20° warmer in an igloo since it blocks the wind. Then it will also trap body heat which could get it up to 25 or 30°. At that point the feels like temperature could be 60° warmer than outside, but still be below freezing. Also, the blocks of an igloo are quite thick, so even if the air inside is a bit above freezing, it won't completely melt the igloo. The inside layer of snow and ice might start to warm up a bit, but it will also constantly be cooled by the rest of the ice block.