Keep in mind that these cherimoyas don't grow in the mountains, but rather in semi-tropical valleys with elevations of around 6600 ft. (like Mizque in Bolivia), where it doesn't snow. My wife is from Bolivia, and I confirmed this with her. So if you were thinking they might grow in Kentucky, that wouldn't be the case.
Yup, cherimoyas are a sub tropical, not a temperate fruit. They can't take freezes. I know someone who tried to start a commercial cherimoya orchard in northern California, and it failed, even though it was supposedly in a micro climate next to a lake.