Mordor is actually like a cold desert (Like other types of desert, cold deserts get very little rain or snow.)
-Frodo laid aside his cloak and took off the orc-mail and flung it away. He
shivered a little. ‘What I really need is something warm,’ he said. ‘It’s gone
cold, or else I’ve caught a chill.’
-They slept a little in uneasy fits; for their sweat grew chill on
them, and the hard stones bit them, and they shivered. Out of the north from
the Black Gate through Cirith Gorgor there flowed whispering along the
ground a thin cold air.
Doesn't Sauron fill Mordor with clouds to prevent sunlight from getting through? Those clouds probably block the heat as well.
Sounds likely enough.
Of course, Mordor is largely a desert. Even deserts that are hot during the day are quite cold at night. Frodo may have taken off his cloak during the night time, when there was little heat. Not being able to see the sun would have made it hard to gauge the time of day.
I always imagined it as being simply stagnant. On some buildings, there's a spot where no airflow ever goes, so all the humidity and flies and whatnot just collects there in a cesspool of discomfort. It feels like you're being suffocated.