In French, when talking about cardinal directions, prepositions may change the meaning of the phrase:
dansDans le nord/sud/ouest/est de la région/du pays
points to regions that are part of the geographical zone the speaker is talking about
auAu nord/sud/à l'est/ouest de la région du pays
points to regions that are OUTSIDE of the zone
Ex: Marseille est dans le sud de la France, mais la Belgique est au nord de la France.
"Sur" used with a cardinal direction is less common, but it the context of weather, it can be used with some verbs or phrases where the weather condition is seen as "falling down" on a region. You will say
il pleut sur le nord/sud/etc, le soleil brille sur le sud/nord/etc
just like you would say
il pleut sur la France/sur l'Alsace, le soleil brille sur la France/l'Alsace
"Il fait froid sur le nord/ouest/etc" would be understood but sounds awkward, just as "il fait froid sur la France/sur l'Alsace". But note that you would say "une vague de froid s'abat sur le nord/la France/etc", because there is still still this sense that something is falling down on the region.
Note that le Nord (mind the capital letter) is also a the name of a departement in France, so the French weatherman/woman could say "il pleut sur le Nord" and refer then to this department.