I've heard of a cold snap, for sure (when the weather is suddenly much cooler for a few days, especially when there's an unwelcome frost), and I've heard of a heat wave (weather suddenly much hotter, often uncomfortably so), but I've never heard of a cold wave in English. I'm from the U.S. Maybe it's a regional usage.
See https://www.skybrary.aero/index.php/Cold_Wave. "A cold wave is a weather phenomenon that is distinguished by a cooling of the air. A cold wave is a rapid fall in temperature within a 24 hour period. The precise criterion for a cold wave is determined by the rate at which the temperature falls, and the minimum to which it falls. This minimum temperature is dependent on the geographical region and time of year. Usually cold waves are measured by the difference from the normal temperature. Cold waves generally are capable of occurring at any geological location and are formed by large cool air masses that accumulate over certain regions, caused by movements of air streams. Cold waves affect much larger areas than blizzards, ice storms, and other winter hazards. The “wave” in cold wave is apparent in the upper-air flow (the jet stream), which is usually amplified into a strong ridge-trough pattern during a major cold outbreak." The word "snap" generally suggests something sudden and of short duration. The word "wave" generally suggests something that rolls in an undulating fashion.