Strong coupling between the gas and electricity infrastructure introduces new kinds of vulnerabilities in energy systems. Identification and assessment of these vulnerabilities is a challenging task because of the complexity of the system and the non-trivial role of the weather, which is inherently random. Prolonged periods of cold weather can dramatically amplify the negative effect of common failure of the equipment. We propose a methodology for identification of the most dangerous scenarios that combine the outage of individual system components with unfavorable weather conditions in a system of coupled gas and electricity. The feasibility of the approach is illustrated on simulations of a detailed model of coupled Gas and Electricity infrastructures in Europe.