A "winter's tale" would have been understood by contemporary audiences as a fairy story or fable, not a realistic tale. It would also have been understood to be a story with a happy ending, though some of the play's darker motifs are alluded to when, near the beginning of the play, Mamillius says, "a sad tale's best for winter." One sad element is the lack of power Hermione has to defend herself against Leontes's irrational jealousy and accusations of unfaithfulness.
The title may also allude to the plot element of the innocent Hermione being frozen for many years. To the extent that this is Hermione's tale, it is a winter's tale in that she spends most of her time "dead" and frozen to the world that once knew her, just as winter is a frozen season. Her coming to life and her reconciliation with Leontes, however, gives the "winter's tale" its requisite happy ending.