Pliny the Elder claimed, in the 6th book in the 19th chapter of "Naturalis Historia", that the name "Caucasus" comes from Scythian "kroi hezios" meaning "snow-covered". The word "kroi" (presumably meaning "snow") is probably cognate to Greek κρυος (ice). But where would the Scythian word "hezios" meaning "covered" come from?
EDIT: In case there is any ambiguity, I am not implying Pliny's etymology was right. But I think it is relatively reasonable to believe "kroi hezios" really meant "snow-covered" in Scythian.