It's called a cave. Go down about a hundred feet and the weather pattern is very stable. It's a bit chilly, but not impossible to make a comfy place.
Avernum takes place in a giant interconnected cave system.
The same could be said for the Underdark, though I've only been there in Neverwinter Nights so I can't say if there are storms.
Journey to the Center of the World also featured interconnected cave systems.
If you want something a little more open, a Dyson Sphere or Ring should also have the same temperament everywhere unless something's gone terribly wrong. Like the heat source drifting closer to one wall (floor?) than another.
Planets can't really be temperament unless they're tidal locked to their star. Then it's all about placement. The side that's locked toward the star would be hot, then a safe zone around the Dawn Belt and finally a frozen wasteland on the other side. Our moon is Tidal Locked to the Earth meaning that for millions of years, we've only seen one side of her.
If you have a dimensional disturbance story (a.k.a magic) or a possible Fey Loci then that would solve the problem as well.