There is nothing wrong with mulching over snow. But your neighbors might think you've gone bonkers.
I have not spread my leaf mulch yet, and don't plan to for a while. The ground is still ridiculously warm, and so far the snow has
not been permanent. In winter, the best thing would be to try to time your mulching just before a snowfall, so the mulch surface will be white and not absorb the sun's heat.
Edited to add not.