Mine always starts in a cold and dark setting, and that's because in FSX/FSX-SE/P3Dv3, I use the C172 in a cold and dark setting as the default flight, and in P3Dv4 I use the Piper J-3 Cub in a cold and dark setting.
So as you can see, the 737's setting is determined by the default flight setting.

Alternatively, you can load the 737-200 Captain Cold-n-Dark (KSEA) flight, then change the aircraft model/livery, and move it to the airport of your choosing.