i have a customer that has this problem.
only when cold outside, she starts truck and it sputters, and shakes truck, if she just let it idle it will run smooth after while or die
had codes for mass air flow and bank 1 and 2 o2 sensers

i removed mass air flow and cleaned and reinstalled no change
so i replaceed mass air flow ,removed plugs and fine wires were worn down, i replaced plugs and wire truck ran better still slight hesitation
now it was cold yesterday am she called and said it doing same thing
but truck has no more codes

 

forgot to add engine size
its a 2003 2500 hd with a 6.0

 

well, it did say O2 sensors, right? not "cylinder 2 misfire", which is a spark plug code?

try this. run a can or 2 of Seafom through fuel system. Best do it is to run truck on fwy at 70 for about an hr. see what happens.

 

Sounds like a vacuum leak, maybe intake manifold. Read THIS & THIS.

Could be a coolant temp sensor or fuel regulator acting up.