Possibly doing less mpg in the cold as running richer due to more dense lpg coming out of reducer, but not necessarily.
Consider this also: Colder LPG is more dense, but so too is colder air. Colder air (for a set flow of LPG) would make the engine run leaner. True, the driver will compensate for the colder air by applying slightly less throttle because the engine will have better volumetric efficiency, but the colder air will have less velocity going through the mixer unit and this could affect the 'signal' that the reducer receives and therefore the amount of gas that is mixed with the air. The net effect of cold LPG and cold air could affect the mixture either way depending on the dynamics of the components and the calibration.
Generally, a slightly over-lean mixture will slightly improve economy but this effect drops away very quickly as the mixture goes leaner still. A too lean mixture (at this extent) will have a much worse effect on mpg than a too rich mixture. A 10% rich mixture won't use 10% more fuel, a 10% lean mixture might use more than 10% more fuel. The system would have to be very rich to cause the 20% loss in economy that you're finding, more than the temperature difference between winter and summer running could account for.
Besides the point previously raised (by others) about effects on fuel economy, another point that can affect them is driving habits. In the cold, driving habits can cause interpreted differences in fuel economy. If you only drive 5 mins to work but have the engine running for 5 mins before you set off to clear the windscreen etc, this could easily cause the economy to drop by more than you're saying. Driving slower, the engine may be in a different load range where the mixture of the LPG system isn't efficient, or the vehicle speed may be too low for the torque convertor to lock up in an automatic gearbox, an automatic gearbox probably won't lock the torque convertor anyway until the fluid warms up.
There are many more variables than just gas temperature!
Simon
www.Lpgc.co.uk
07816237240