Even though we have cold iron deposits here, that's pretty much bullshit and just for mechanical convenience.

The "cold" in cold iron refers to the forging process, not some specific type of iron.

Iron, Cold: This iron mined deep underground, known for its effectiveness against fey creatures, is forged at a lower temperature to preserve its delicate properties. Weapons made of cold iron cost twice as much to make as their normal counterparts. Also, any magical enhancements cost an additional 2,000 gp.

Items without metal parts cannot be made from cold iron. An arrow could be made of cold iron, but a quarterstaff could not. A double weapon that has only half of it made of cold iron increases its cost by 50%. A two-bladed sword with one end of cold iron and the other end steel would cost 150 gp. Cold iron has 30 hit points per inch of thickness and hardness 10.

Soul's right: cold iron is iron that's worked through a special method. And, in D&D lore, it's highly effective against fey and one or two other types of beasties as Ego pointed out.

For my own reference, where is it described in 2ed? I could not find any reference apart from monster vulnerabilities but not discription of the metal.

Fools' Gold
(Alteration, Illusion)
Range: 10 yds.
Components: V, S, M
Duration: 1 hr./level
Casting Time: 1 rd.
Area of Effect: 10 cu. in./level
Saving Throw: Special
Copper coins can temporarily be changed to gold pieces, or brass items turned to solid
gold, for the spell duration by means of this magic. The area of effect is 10 cubic inches
per level--i.e., a 1-inch x 1-inch x 10-inch volume or equivalent, equal to about 150 gold
coins. Any creature viewing the "gold" is entitled to a saving throw vs. spell, which can
be modified by the creature's Wisdom; for every level of the wizard, the creature must
subtract 1 from his dice roll. Thus, it is unlikely that fools' gold will be detected if created
by a high-level caster. If the "gold" is struck hard by an object of cold-wrought iron, there
is a slight chance it will revert to its natural state, depending on the material component
used to create the "gold." If a 25-gp citrine is powdered and sprinkled over the metal as
this spell is cast, the chance that cold iron will return it to its true nature is 30%; if a 50-
gp amber stone is powdered and used, the chance drops to 25%; if a 250-gp topaz is
powdered and used, the chance drops to 10%; and if a 500-gp oriental (corundum) topaz
is powdered and used, there is only a 1% chance that the cold iron will reveal that it is
fools' gold

The warlock gains some supernatural immunity or resistance, but also acquires a supernatural vulnerability. For example, he may gain the
ability to only be struck by magical weapons, as well as immunity to sleep and charm spells, resistance to spells of a certain school, immunity to poison, the ability to assume gaseous form (much like a vampire) or some other powerful attribute. The price he pays is a vulnerability such as susceptibility to holy water and turning attempts by priests, the inability to stand contact with common materials such as cold iron or garlic, or the
inability to set foot on sacred ground. (Take a look at the customized limitations in
Chapter 1 for more ideas.) This weakness can be deadly if used against the character by
enemies who discover its existen
ce

I always just assumed they were weapons that were cold forged. IE, beaten into shape by raw strength and persistence, rather than softening the metal with heat. More the way it's made than the metal itself.