St. Paul can really be variable in late February. It can be a cold snap or be oddly warm (I think last year we had 50s in February? May be misremembering, though.
If you do need a winter coat, Target at that point will likely have some clearance sales, as will many other stores. There's a Target near the Hamline Ave. Green Line station - probably your best bet (the one on the 70 line would take you away from most of the tourist destinations.) T.J. Maxx is also a short walk from that same station. Sears will be a bit more expensive but is near-ish the Capitol/Rice St. Green Line station, and it's probably the only Sears that has a DMV inside of it! For thrift stores, there's a Goodwill a couple blocks from the Lexington Ave. station, although the St. Vincent de Paul thrift store is likely the same distance from one of the 54 bus line stops. There aren't really any department stores in downtown St. Paul; the Macy's closed a few years back and St. Paul is more of a retail/entertainment destination these days than a shopping destination.
Of course, there's always the option of going to the Mall to get a coat if you need one - it's easy to get to and there'll be ample selection there. The department stores generally are similarly priced to a department store elsewhere in the area - they don't seem to inflate the prices there, though I'm not sure whether clearance selection would be larger (because it's a busier store so they put more clearance there to move it) or smaller (because more people have went through the clearance items!)
That all said, it seems like MSP proper do have a bit of a heat island effect that makes it a few degrees warmer here than nearby towns outside of the metropolitan area. I remember hearing it was -3 this morning in St. Paul but -6 an hour and a half south in Rochester, MN.
