Its not at all weird, this is a problem with a lot of people. It is because of
the changes in atmospheric pressure specially because of low atmospheric pressure.
When it rains, the atmospheric pressure in the air changes. Low atmospheric pressure especially has an effect on the fluid in your joints. It expands, which makes your joints stiffen up as well as aggravates your nerves and tenses your muscles. As a result, many people suffer pressure headaches when it rains.
When rain falls, the barometric pressure in the atmosphere has increased. This increase in pressure can affect an individual's sinus cavity and cause an internal increase in pressure. The increased pressure in the sinus cavities exerts pressure throughout the rest of an individual's head and results in a headache and migraines as well.
Two reasons come to mind. One could be that you have a slight sinus problem, and the drop in barometric pressure is causing pain. Another could be that you are just one of those people sensitive to changes in environment - which includes weather. I would recommend consulting your doctor on this next visit.