First, most indoor gun ranges are not well heated due to ventilation requirements (the big range in Sharonville included). So it's just as cold inside as it is out, even at most indoor ranges.
Second, indoor ranges are much louder and more cramped than outdoor, making it very difficult to hold a class indoors. Especially for new shooters.
And finally, indoor ranges, especially older ranges, force you to breathe in pollutants as you shoot, including lead. We'd rather not do that, so we prefer to shoot outside for the health of our instructors and students.
Nothing wrong with going to an indoor range-- we go every now and then-- but an outdoor range tends to be better for classes and better for your health, and is typically just as cold as the indoor version.
So bundle up, jump in your car if you get too cold, and we'll get the fire pit and propane heaters cranked up so we can all survive the outing!