To me, it feels like the Pigrons don't fit because of how goofy and out of place they look. With the Ice Mermen, Undead Vikings, and Ice Tortoises you can tell they used to live in a warmer aquatic environment that has now frozen over. Pigrons on other hand are brightly colored mini Duke Fishrons that show no sign of being affected by the frigid environment.
Pigrons also show no sign of being affected by the Corruption/Crimson/Hallow, unlike other enemies like Mummies, Desert Ghouls, Sand Sharks, and Mimics. No diseased flesh, exposed bone, ichor dripping from the mouth, or glowing crystals growing on their body. Just brightly colored pig dragons that share almost no resemblance to the biome they are presumably infected by.
To me, it just makes more sense for Pigrons to live in the ocean where their larger mutated leader Duke Fishron can be found. However, I would be content with them staying in the ice biome if they got a sprite update that got rid of their vibrant colors and added some details that show the environment's effect on them.