I made a veg a long time ago using
Vegas, Media Generator, Noise Texture, Starry Sky
Make the black color transparent in the noise texture preset.
Use two keyframes for motion of snow falling. Fisrt keyframe stays the same in the preset. The new last keyframe changes the Progress and Grain values.
Use the snow event on a new track above your background track.
Tweak as necessary.
Experiment and get creative. Most things are already in Vegas.
If you need snowflakes, Google "snowflakes", there's even a web based snowflake generator. You'll need a LOT of tracks though to animate a lot of snowflakes.
How does Christmas snow differ from the regular kind? By the way, Boris red (or Boris FX) does a great job of creating very realistic snow effects with larger flakes in the foregroud and smaller ones in the back. You can also have them accumulate on the ground.