As long as the structure meets the building requirements, fresh combustion air requirements and the heater is vented properly you will be all right. I had a remodel done on my home several years ago and the boiler and water heater were outside during 1 month of freezing weather. Nothing froze up, the pilot never blew out on either device. Only a tarp covered the equipment. New water heaters do not radiate much heat so you may consider installing a small electric heater for freeze protection....although you may get some help from any hot water piping in the room. And I agree with staying away from tankless.
Do you want it your way or the right way?
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