Miniature vortexes of wind can stir up snow in a formation known as a snow devil. Similar to a dirt devil, snow devils are spinning columns of snow. Snow devils form when dry snow is picked up by gusts of winds, creating a vortex. Also known as ‘snownadoes’, snow devils are a rare winter phenomenon.
As cold air passes over a warmer surface can create conditions for a snow devil. The warmer air rising from the surface passes through the cold air, it creates an updraft that can being to rotate. The rotating pulls the dry snow up with it, creating the snow devil. Since surface heating is both less likely in snow areas and the heating of the surface causes the snow to become wet and heavier, snow devils are far less common than dirt devils.
Here is one captured in Austria by Heinz Petelin.