For a song to tell a fantasy story about a snowman that came to life would be one thing. But the first two lines above throw a superfluous claim into the mix. For those two lines to make sense, Frosty The Snowman would need to be the subject of a pre-existent (i.e. predating the song) story, a purported "fairy tale". But I've researched the matter a bit, and all indications are that the tale of Frosty The Snowman ORIGINATED in the writing of this song. So, far from there being any pre-existent story about him, Frosty The Snowman (or any tale about him) was a previously unknown non-entity leading up to the song's creation. So it is both nonsensical and insincere, as well as a tad pompous, for the song to attribute its own creation to a pre-existing purported "fairy tale". The "they" of "they say" is as much a fantasy as the song's title character!

(Editor's note: The performer for this song is Gene Autry, not "Traditional"! It was written by Walter "Jack" Rollins in 1950, and first recorded by Gene Autry later that year. Since then, it has been covered by numerous performers, which is why some people misconstrue it as a "Traditional" piece.)