I write these words as the Kantō region writhes beneath the boot of a cruel dictator. This inhuman master is known only as the Winter Shōgun (fuyu shōgun 冬将軍).

Despite the term's distinct ring of medieval helmetry, Wikipedia claims that it's actually a localization of "General Frost," the English name for the anthropomorphized Russian winter that famously finished off Napoleon's Grande Armée in 1812 ("... but, to make the picture complete, we should add the name of General Typhus and General Napoleon"). John Ashton's English Caricature and Satire on Napoleon the First (found via Google Books) records use of the term as early as December of the same year:

'General Frost shaveing Little Boney' (December 1, 1812) is very grim in its humour. Bonaparte begs, but in vain, for pity: 'Pray Brother General, have Mercy. Don't overwhelm me with your hoary element. You have so nipped me, that my very teeth chatter. O dear—I am quite chop fallen.' But the unrelenting and unpitying Frost replies, 'Invade my Country, indeed! I'll shave, freeze, and bury you in snow, you little Monkey.'

Wikipedia's etymologies are often not to be trusted, but this one seems at least as plausible as any other explanation. I couldn't find any examples of the word appearing in Edo senryū, for example, as you would expect it to had it been around then. An origin as a borrowing from English would also explain otherwise peculiar furigana pronunciation instructions, like this one in KOJIMA Usui 小島烏水's Setchū Fuji tozan ki ("Record of Climbing Mount Fuji in the Snow", 雪中富士登山記), published in early 1911 (Meiji 44) in Chūgaku sekai, a magazine for middle school students (the one that had given TAKEHISA Yumeji 竹久夢二 his big break a few years earlier, as it happens):

これから上の室という室は、戸を厳重に密閉して、その屋上には、強風に吹き飛ばされない用心に、大塊の熔岩（ラヴア）が積み重ねられ、怖るべき冬将軍（ゼネラル・ウインター）の来襲に備えられている...

The huts above [the Hōei crater] have their doors shut tightly and great chunks of igneous rock piled on their roofs to prevent them from being blown away by the fierce winds, in preparation for the coming of the dread "General Winter" (Zeneraru Uintaa)...

The shift from "Frost" to "Winter" is something neither I nor any of the books in the relatively warm parts of my apartment can explain.