Will not start when it is very cold outside (below 30 F)?

The problem I am having is that the truck will not start when it is very cold outside (below 30 F). When attempting to start the motor turns over great but never fires up, after about 5 min. There is a "thud" like sound immediately after I let off the key, not very loud, but noticeable. After continuing to try to start (about 15 sec at a time) finally after about 10 min or so it will start and run beautifully like there was never a problem. The only time this happens is on the first start of the morning when it is cold, after that it starts every time, runs perfect. I don't understand
I took it to the dealer and they told me it was most likely the intake gasket, I replaced it, same problem. Then I was told it was the fuel pump, replaced it and the filter, same problem. Then was told it was either the gas or anti-freeze freezing, now I'm running 97 octane w/ Sea Foam and anti-freeze rated at -41 F at about 75% mix, and I'm still having the same problem. Any thoughts or input would be greatly appreciated.