Definition
Synonym of that'll be the day (“said in reply to something that one believes will never happen”).
Origins
Probably a humorous elaboration of that’ll be the day, with frosty and Friday chosen for the alliteration; probably also implicitly evoking a cold day in Hell, referring to when Hell freezes over.
Also Said As
How People Actually Use It
that day will never come; don't hold your breath.
Source: Urban Dictionary