I know no one gives much thought to holiday lore in this game, but hear me out here. Check out these passages:
https://wow.gamepedia.com/The_Feast_of_Winter_Veil
The dwarves and tauren especially look to the legend of the coming Winter Veil - the blanketing of the land in snow, thus heralding a time of renewal - as a time for celebration.
In his wake was the blanketing of the land in snow, and thus it is said that Greatfater Winter would cast his wintry veil over the land. Though parts of Azeroth may lie in snow, it gives the land time for rebirth and renewal.
Greatfather Winter’s legend is that he spreads winter across Azeroth, and under the ice and snow the land renews and rebirths. You know what else is associated with both rebirth and snow? Ardenweald. And it’s not just that they’re led by the Winter Queen, the whole zone is supposed to be autumn/winter:
If the Emerald Dream represents spring and summer, Ardenweald represents autumn and winter in the cycle.
And Greatfather Winter isn’t just a myth, he’s a real being. You remember those Warcraft Legends anthology comics released back during Wrath? One of them was a Winter Veil story that ended with Greatfather Winter actually observing people all over the world celebrating. This is what he looked like:
https://i.imgur.com/26zKfvo.jpg
so tl;dr, my headcanon/theory is that Greatfather Winter comes from Ardenweald due to their shared connection of both winter and rebirth.