There will always be moisture in the tube if it is not sealed from the water.
One solution is to install a diaphragm seal somewhere below the frost line and run a small tube with non-freezing liquid to the pressure switch and gauge. Diaphragm seals are commercially available but are expensive, often in the range of $200 or more. You still have the problem of digging down to get the seal where it won't freeze. And pray that you don't have to maintain it when there is 5 feet of frozen ground somewhere in the desolation along US-2.
Diaphragm seals are a pain to maintain in a manner that will ensure accuracy of the pressure transmission through them. If you get a leak on the gauge side you will get a low reading. You should try to find a different solution.
Where is the water being delivered? Where is the tank? That is presumably protected from freezing. That is the place to put the pressure switch. If there is no tank at the location that is protected from freezing, you should add a small diaphragm tank, pressure gauge, and pressure switch, and run a wire to the control box. But remember the rule of NO VALVE BETWEEN THE PUMP AND THE PRESSURE SWITCH AND TANK.
I assume that the control box is at the pump because of a power supply issue. That doesn't mean that you have to put the switch at the control box. You can put a 24 volt transformer at the control box or at the relocated pressure switch, and relay at the control box, so you can run a control circuit with thermostat wire from the pressure switch. Total cost of relay and transformer is about $30. Thermostat wire is about $40 for a 500 ft roll at Home Depot. For a more rugged wire you can run 14-2 UF above ground with 24 volts at not much more cost.
Summing up possible solutions in order that I would select as preferable:
1. Move the pressure switch and control box to a protected area.
2. Move the pressure switch and run a wire to the control box, using a 24 Volt transformer and relay if you don't want to run 115 Volt wiring through the woods or wherever.
3. Insulation, heat tape and thermostat off the power at the pump (which you have rejected)
4. Diaphragm seal (My very last choice)
I know it's sometimes hard to get parts north of The Bridge. Come back with a message and horsepower/Voltage of pump and I can help you find parts at Grainger if you pick the relay solution.