There is no freeze proof piping, sadly. Up here in the northern states all the piping has to be protected and the stuff that's outside the walls needs heat tape.
Copper usually bursts if the water in it freezes. But PEX can freeze without bursting. It has just enough flex to handle the expansion of water into ice. It still might burst, but it’s much less likely than copper. At least that’s my understanding of it. It’s not freeze proof. But it is less prone to freeze damage.