Well in the Shetland dialect it would be called a 'Sna Licht', but I don't think one has ever been made in Shetland, or not that I know about.
In Norway it's called a 'Snølykt'.
And in English I guess it would be a 'Snow Light', or 'Snow Candle'.
No matter which language, a candle with snowballs built round it looks quite nice...
Yun's aa fir enoo.