I was walking in really cold weather and got breathing difficulties? Walking pneumonia?

Non specific. One who gets short of breath from anything find it harder to breath in the cold. Patients with heart disease may find walking in cold weather puts more stress on the heart and get short of breath or chest pain. Patients with asthma or COPD may get more short of breath in the cold as cold air can trigger bronchospasm (airway narrowing) & get short of breath. You should be seen by your doctor asap.