This story features a detective showing up at a dead man's house to investigate his death. The man died from exposure, he was watching a documentary about arctic wolves, and as the house projected the images on the walls it also lowered the temperature to sub-freezing to make the experience truly immersive, killing him in the process.
As per Short story where a killer house lowers the temperature to match that of a movie scene the owner is watching, if you allow for it being a bit later, and the theme being slightly different, this could be "House Arrest" by Erik Larson.
D'Angelo: Okay. From what I can tell the dead guy, ah, the victim, turned on his video recorder. We found a tape labeled 123 in the machine. See, Palmerston was a movie freak. He liked old flicks. Like Bogart, Redford, Streep, stuff like that. He liked the scary ones, too. Like 123 - we found out it was this creepy movie with a guy named James Arness, about the scientists in the Arctic who find this monster frozen in the ice. Not bad, either.
D'Angelo: That's when things start going wrong, see. The dead—ah, Jeez, the victim, being the kind of guy who likes movies, set the mood-response system on high. So Arthur takes over. At first, hey, no problems. A little breeze, some wind noises. Good stuff. Then Arthur goes bonkers