Usually, lightweight expanded clay is built with ordinary mortar, sold as masonry mortar. Coating with A-mortar prevents the joints from showing through the plaster.
If you are making a construction that is completely exposed to water and frost, there may be damage to the construction. The best solution is to ensure that water cannot run into the porous masonry part. Another solution is to build and plaster with pure cement mortar. Not fun, as it runs and behaves.
But Skåne suggests that winter is mild. Worse further north.