Caught up in the in-crowd, now you're in-style
And in the winter gets cold en vogue with your skin out

from Jay Z (Ft. Alicia Keys) – Empire State of Mind Lyrics on Rap Genius

Meaning

At this point, the girl has been completely absorbed by the city. Even though New York is pretty cold in the winter, she still wants to show off her body with fashionable (or en vogue, in French) dresses.

InStyle is a fashion magazine and Jay makes “and in the winter” sound like “Anna Wintour gets cold in Vogue with your skin out”, referring to Anna Wintour, the Editor-in-Chief of Vogue magazine, which shows how much the girl focuses on style and appearance before morals.

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