Anyway, some Japanese researchers have tried to scientifically study the difference in thermoregulation between ethnic groups.
There is one study that suggests that while on a walk, Japanese people heat up quicker than Europeans, however it has small sample size and poor control, so should be discounted. (Thermoregulatory responses to heat and exercise in Japanese and Caucasians K. Ohara, N. Okuda and S. Takaba, International Journal of Biometeorology, Volume 19, Number 2 (1975), 99-107, DOI: 10.1007/BF01463865)
There's another one comparing Japanese people to native islanders from Oceania that found just more likelihood different parts of the body varied in temperature but was inconclusive. (Joo-Young Lee, Hitoshi Wakabayashi, Titis Wijayanto, Nobuko Hashiguchi, Mohamed Saat and Yutaka Tochihara Ethnic differences in thermoregulatory responses during resting, passive and active heating: application of Werner’s adaptation model European Journal of Applied Physiology, Volume 111, Number 12 (2011), 2895-2905, DOI: 10.1007/s00421-011-1912-5)