This is just my theory. But if you just think about it, it kinda makes some since.

(I base this theory on MK fact:)

As we all know the older Sub-Zero(The 5th) was killed by Scorpion in MK1. His younger brother Sub-Zero(The 6th) took on the name after his brothers death and continued the legacy of the name.

MK fact says that Sub-Zero the 5th and 6th were taken from there mother as childern(their age at the time unknown) by their father a Lin Kuei ninja and made to live with in the clan. The to brothers also had a sister. Thats right, a sister. Who has not been seen or heard of since. I don't know how many of you follow the story like I do, but the Sub-Zero Myth. did tell of a sister.

(My Theory:
At the time the two Sub-Zero's were taken(as childern)to live with the Lin Kuei, there father may not have taken there sister Frost for three reasons.
1.she was a female and would not be taken in by the Lin Kuei.
2.her father did not think she had the freezing abilities and did not take her.
3.she was hidden by her mother so that she would not be taken.

Perhaps she as learned of her fathers ties to the Lin Kuei and entered Sub-Zero's tournment for new recruits as a way to find out about her pasted. She would not know of her two older brothers because she mite have been a small baby at the time they were taken. Her mother mite not have told her about them becaused she feared Frost following the Lin kuei's evil path at the time.

Frost is obviously alot younger then Sub-Zero, so her age would fit her in the right place in their family free. Also, in her bio it says "a mysterious female ninja named Frost who seemed to have freezing abilities similar to those of Sub-Zero."
No other warriors have had the powers of freezing, maybe it only runs in the family?????)

.....again, this is just my opion.