Cold mastery doesn't break immunities. AFAIK, items with -% enemy resistance use the same sort of property as cold mastery, so they wouldn't break immunities, either.
I think LR and conviction are the only ways to break elemental immunities, while amp damage and decrepify are the only ways to break physical immunity.
EDIT:
Testing confirmed this. I modded a quill rat in normal to have 100% cold resistance. With some points in frozen orb and cold mastery, the quill rats didn't lose any life at all after many hits. I then also used a modded cube recipe to give my weapon -255% enemy cold resistance. Again, the quill rats were completely impervious to frozen orb damage. If they had been in the least bit affected by the cold mastery or the modded weapon, they would have died instantly.
I think LR and conviction are the only ways to break elemental immunities, while amp damage and decrepify are the only ways to break physical immunity.
EDIT:
Testing confirmed this. I modded a quill rat in normal to have 100% cold resistance. With some points in frozen orb and cold mastery, the quill rats didn't lose any life at all after many hits. I then also used a modded cube recipe to give my weapon -255% enemy cold resistance. Again, the quill rats were completely impervious to frozen orb damage. If they had been in the least bit affected by the cold mastery or the modded weapon, they would have died instantly.