This really shouldn’t be a problem. GPU particles are very cheap to render as long as the overdraw is still low, and with something like snow you really won’t have any overdraw. Attaching weather to the player or camera is the traditional way of doing this, but with such high speeds you would probably have to make the attached particle system this large anyway. If you aren’t seeing any current slowdown, you should be fine.
I would NOT do this will something like smoke or clouds as those would have much more overdraw and cause some serious problems.