Just planted a baby tree, leaves are curling

Hi,

I just planted a very young lemon tree, from an orchard in Arizona. Although the tree is small, the leaves are starting to curl, and they have a strange glassy yellowish color on the inside of the leaves.

Is my tree dying?

Do I have parasites?

It's been below freezing here in AZ for the last 2 nights, but I have wrapped the tree for the last 2 nights.

Any ideas?