I think it’s just how Temperature Resist on Armor works. The Jewel of the West Armors add crazy amounts of Heat Resist which cools you to much in temperate areas, similar to Vanir and overheating.
Wear a few pieces of Vanir Heavy with your Black Dragon when not in the Volcano and you should be fine, even in the desert. Not ideal but it works until they fix/tweak how Temperature Resist work.