No, like I said, if you replace 'frigid' with 'cold' it's fine and means exactly what you meant. It has no sexual element apart from the word 'frigid'. B told you what it means but if you didn't understand that definition:
Definition 1 in my dictionary: Frigid. Sexually unresponsive: unable or unwilling to respond sexually, to enjoy sexual intercourse, or to have orgasm during intercourse.
It would make a great joke (better than the original with substitution of cold) if you made it about your wife rather than your mother-in-law. English humour is built on puns and double meanings, so the combination of 'cold temperature meaning of frigid/comparing her to a fridge' and 'sexually frigid/cold wife/frigid also means cold and sounds a bit like fridge' makes the joke a different one, but a lot funnier. But can you see why it's not appropriate for your mother-in-law joke now?
So if you want to make it a slightly rude joke, keep frigid but make it about 'my wife'.
If you don't want to make it a slightly rude joke, change it to cold and keep it about your mother-in-law.