It's in my blood and in my bones

It is a widely used metaphor, if that is what you mean.

Would you say, "Do you have ice in your blood?" or "Do you have ice in your veins?"

Thanks again for the help.

You can say either. In fact, you could say "Do you have ice in your arteries?" if you wanted to, but the usual metaphor involves only veins. I don't know why.

I'm not sure what you mean by "set expression". If you mean "Is this an idiomatic expression most English speakers will be familiar with?", yes it is even though rare in usage.