Again... ya sure about that? Funny, because it sure looks like she's also wearing it in this picture of her with Dougray Scott, which is from the episode immediately after the one set aboard the sub. So I guess she ISN'T only seen wearing it in the Ice Warriors episode.
That doesn't look like the same jacket from the Ice Warriors episode. There's a hood, and look at the sleeves, how they are rolled up.
Edited to add: the color is different too. In your pic, it's blue, in the submarine, it's black. And there's a collar in the submarine one, where here... it's a hood. Two different coats.