Possible there's an intake/ vacuum leak (small leak that closes up when warm) have seen this previously on a subie with intake manifold gaskets leaking when cold
spraying some UEC or carbie cleaner at any joins/ gaskets along the intake tract will result in a change in idle speed, or a "cough" if it gets sucked into the engine at the point of a leak
Less likely to be the Rear o2 Sensor given it's cold, could still be the front one though
Quite possible the Coolant Temp Sensor may be faulty so the car is not getting the required extra fuel it needs when it's cold
or the TPS/ throttle body butterfly is sticking slightly when it's cold (contracted) if the TB is a little dirty
has it had a new air cleaner recently?, if not, that's a place to start
fuel filter?/ bad fuel (use 98RON only)