mine had a slit (insulation was cut but the wire it's self was intact) in one of the small wires going to the coil. Ithad been raining for a day or two and then wouldn't start. Got it inside and dried out, and it fired right up. may not be related to your problem, but somthing to think about.

 

If you do the cap & rotor (Rotor part number D236 made byBWD Automotivethe Select series brand comes with a lifetime warranty).
BWD is located out of Long Island City NY USA MADE, not made in Tiawan or some forgien (edit)shop.

You might have enough Frost built up under the cap that it is hindering the spark. Which is why its not starting. I doubt it would be theignition Mod (due to its only acting up when its cold) unless thereis expose wire or a bad plug.

Bad Plug is common with electronci fans with GM. The Plug for the Temp sensor goes bad, then no ground for the fan to engage, opps that one over heated. Replace the two prong plug and away it goes. Most Blazers have a clutch fan so owners of these dont have to worry about that mishap.

 

I would check the condition of the cap and rotor and see if that actually was replaced!! If it looks new then I would still either replace the ignition module or take the alternator off and get it bench tested to see if its good!! I used to work at autozone and we had a 99 blazer die on its way into the parking lot and the lady said that it was having starting problems so I took the alternator off tested it and it tested bad!! Replaced the alternator and voila it fired right up(the old one just let the motor crank and crank)!!