If it's really, really cold, like below zero, your spa may loose a degree or two while you use it. Depends on the spa.
Check your owners manual to see if there are any special instructions for sub zero temperatures- mine has some special instructions for when it hits -30F, If I recall.
If it's -40 and your heater quits, act quickly to prevent water freezing if at all possible, and hope you get the problem fixed before plumbing freeze sets in.
Your owners manual may also expain what to do here, or ask your dealer what they'd recommend for your spa.
Do you have 2 sets of steps on that spa? I'm seeing your top step full of snow, but no footprints. Or did you dive over the side or something?