Donkey training is more of a discussion, less of a demand. The donkey has to want to do it -- has to have motivation as to "why should I?" Loving/praise are the best I found, but treats can work.
Aside from that -- I don't see why your donkey would need a blanket. We too had one that lived outside with a shelter available 24/7 in Ontario. Winters are -30 celcius plus a wind. The donkey would just grow a phenomal coat and be fine. Also, from the pic, I would guess that your donkey is a tad, just a tad, overweight so that will help keep him warm.