I did a little research on the phrase for you guys. From wikipedia....
This is from the wikipedia page for "sunshower". Pretty interesting... apparently there are variations of this saying all over the world:
In the United States, particularly in the Southern United States, and in Hungary as well, a sunshower is said to show that "the devil is beating his wife" because he is angry God created a beautiful day. The rain is said to be his wife's tears. A regional variant from Tennessee is "the devil is kissing his wife".[4][5] In French, the phrase is "Le diable bat sa femme et marie sa fille"[6] (i.e., "the devil is beating his wife and marrying his daughter"). In the Netherlands they say that there is a "funfair going on in hell". [7]
Other variations:
In Lithuanian and Estonian (vaeslapse pisarad), the phenomenon is described as "orphans' tears", where the sun is the grandmother drying those tears.
In Russian, it is called грибной дождь (gribnoy dozhd'), "mushroom rain", as such conditions are considered favorable to growing mushrooms.[8]
In Indonesian, the phenomenon is the sign of someone who is rich and well known has died in the place where the sunshower happened. So the sky showing its condolences.
In Catalonia it is said that the witches are brushing their hair, "les bruixes es pentinen."
In Afrikaans it is said that Wolf and Jackal gets married, "Wolf en Jakkals trou."
In the Dominican Republic, it is said that a witch is getting married.
In Haiti, it is said that a zombie is beating his wife for salty food. Devil is sometimes interchanged for zombie.