Siobhan had this problem when she was little. When she was about 3, she stepped into a scalding tub and was about to sit when I snatched her out of it. Her feet were purple! (that cured me of the "run the hot first" habit)
I also remember her swimming in a lake at around two: goosebumps all over, lips and fingers blue, teeth chattering, but refusing to get out because she loved the lake and her brain didn't register that she was cold.
The thing that helped her was Willbarger brushing. That seemed to re-set a lot of sensory stuff with her. Mind you, she was three at the time, so I'm not sure if it would work with your DD, but it might be worth a shot!
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