Chances are that the "cold" many may be feeling with Fay is coming from a few causes -

First, there is some significant dry air entrainment in the western and northwestern quadrants of the cyclone. This can result in some evaporational cooling, similar in a way to that which can also be perceived during a typical afternoon summertime thunderstorm.

Wind will always cool the skin.. and rain and wind even moreso.

Overcast skies for extended durations often make for much more of a different climate, even in a tropical cyclone, especially if it has been sunny lately.

The sense that Fay is a "cold" storm for a Tropical Cyclone is probably all related to these three main factors, and besides, in the end, "perception is reality."