What arKZo said is correct. What keeps you warm is your own body heat that is kept inside by the igloo. This heat ultimately comes from food you ate that gets turned into energy to warm up your body.
If you ate fruits/veggies, or an animal that ate them, the sun allowed the plants to grow, so the sun is actually keeping you warm in a strange way.
Ice by itself is a very poor insulator (allows cold temperature to easily transfer inside) and would make you cold faster than your body could produce heat. However, an igloo is made from compressed snow that has lots of air pockets. It is the air pockets that keep you insulated the most. The concept is true with a down blanket or jacket.
Igloos also keep the wind out. People enter them from underground to keep the wind from coming inside. Not having wind is very important to keep your body warmer.
