Why won't my natural gas fireplace light when it's cold?
From the Manual, one of these two solutions sounds most likely:


  Verify all connections to wiring diagram in manual. Verify connections underneath pilot assembly are tight. Verify flame sense or igniter wires are not grounding out to metal chassis, pilot burner, pilot enclosure or screen if present, or any other metal object.


Or


  With fixed glass assembly in place, verify that flame is engulfing flame-sensing rod on left side of pilot hood. Flamesensing rod should glow shortly after ignition. With a multimeter, verify that current in series between module and sense lead is at least 0.14 microamps. Verify correct pilot orifice is installed and gas inlet is set to pressure specifications. Polish flame-sensing rod with fine steel wool to remove any contaminants that may have accumulated on flame-sensing rod.


The fact that it occurs only when cold could mean a poor electrical connection (metal expands when heated which results in a better connection), or the thermocouple is not properly in the flame (maybe by such a small distance that the room heat allows it to get to the proper voltage).