Thermodynamically, the wings are more like bat wings than penguin feet. Countercurrent heat exchanges therefore cannot be the sole solution.
Keep in mind that plents don't have to be smooth and bare-skinned. The
Gryphler, for example, is a phlyer (descendant of the Quone Phlyer) but is covered in fuzz. Hairlike structures are surely not that hard to evolve, judging by the fiber coatings on pterosaurs* and feathery fuzz on various dinosaurs, kiwis (birds), and various bird nestlings.There's even a species of frog with temporary hairlike structures, though it's not like mammal fur or bird feathers. The fact it exists elsewhere in a phlyer suggests the lineage has the potential to grow hairy structures, too.
If you wanted to maximize (a particular conception of) plausibility, you could make a note the fuzziness is homologous to that of gryphlers, but has some structural differences on close inspection that attest to its convergent manifestation.
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According to this
source:
"The average winter temperature is -34° C (-30° F), but the average summer temperature is 3-12° C (37-54° F) which enables this biome to sustain life."
For something small with large wings, it might be cold, even in summer. Being able to fold its wings over itself in some way would help, although if it typically does this "in the wild", the vertical portrayal of its wings risks being unrealistic.
Here are some links that could help you figure out winter adaptations for something with batlike wings:
General sourceGeneral source.
Non-migratory batBats that are migratory, but
but capable of brief hibernation.
Migratory species from similar habitats (although these migrate over long ranges).
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*A quick check shows there's been recent (and debated)
research suggesting pterosaurs' pycnofibers are, in fact, feathers, even though pterosaurs are only distantly related to birds, but that's probably more precision than is needed here. Not every evolutionary innovation here will need three research paper citations.