Eva, it sounds to me like you are not eating enough, period.

Feeling perpetually cold, BGs all over the place...signs that you are starving yourself, especially when you do such a physically taxing exercise as Zumba several times a week.

If I were you, I'd try eating a lot more fat for the next week. Stop the Zumba while getting solidly into ketosis, and see how I feel.

You are not supposed to be cold, and hungry, on a LCHF eating plan. You are supposed to be satisfied and feeling healthy.