There was an actual King Wenceslas, and people actually said he was good! Especially to the poor people of 10th century Bohemia; the song is about how the dude would go out into the snow and cold on the day after Christmas, the Feast of Stephen, so he could comfort and provide for the poor.
His royal page notes that the boss is so profoundly good that just by walking in his footsteps he can brave the fierce winter too! Though if he had just disco danced along the trip, maybe to this version of “Good King Wenceslas” from the extremely underrated 70s album “Yuletide Disco,” he might have felt warm no matter where he went.