"Does fashion go out the window": there are certainly fashionable warm clothes. The fashion may evoke a rather different character, though, than at an outdoor nightclub in a tropical setting.
I've never been to the Baltic countries, but I have lived in Amsterdam, where the colder winter weather probably resembles a mild day in the Baltic region. There, quick-drying woolen and/or synthetic leggings with a short woolen skirt are commonly seen on women using bicycles for transportation, because it's practical and dries quickly. I'm talking about weather in the range of roughly -5 to 5 degrees Celsius (23 to 41 degrees Fahrenheit) and above, so this is probably applicable only to certain days in the Baltic winter.
In the name of full disclosure, I'm not a woman, and I don't wear skirts, but I have discussed this with a few women both during my time in Amsterdam and afterward.
Of course, one needs less insulation if one is riding a bicycle than one needs walking, and standing still requires more insulation than walking. But, echoing the comment about thermal long johns, some warm base layer will go a long way to keeping you warm, whether it's under a short skirt or heavy trousers.
If I were you, I'd be less concerned about what to wear outside than I would be about typical indoor temperatures, so I would have an idea of how readily I would need to be able to remove my layers in a public place such as a restaurant. In my experience indoor temperatures in Amsterdam tended to be rather cooler than in the (northeastern) US, so this was less of a problem there. I was more inclined to wear many layers there because I didn't have to take them off, so I never wore my winter coat after the first year, just a few shirts, a sweater, and a medium-weight jacket. In New York, where I now live, I have to have fewer layers under a heavier coat.