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 >>/48633/

It is adjective. Technically it is valid word and even can be toponym, but it looks unrealistic that someone would use it as serious region name. You can name river, village or mountain like this, but not region or state. Phrase "snezhnaya oblast" (snowy region) feels like description (from weather forecast or geographical book), not place name. You can even use it as "снежная страна" (snowy country), but it also feels like place description, poetic phrase or fairy tale naming for small kids. Additional problem is declension: Snezhnaya is feminine adjective, and must be used in different form for masculine or neutral words. So when it used without changes it looks somewhat funny. 

So, while it is valid word (much better than average foreigner attempt to name something in Russian), it still feels too unrealistic. I don't know anything about that Genshin thing though, maybe they made all names in that way.