The two of them shared the clouds and rain of Mount Wu (i.e. made love).
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history
The erotic sense traces to Song Yu's 《高唐赋》 (c. 3rd century BCE): King Huai of Chu dreams of a goddess on Mount Wu (巫山) who tells him she is 'morning clouds, evening rain' (旦为朝云，暮为行雨). Ever since, 巫山云雨 has been the classical Chinese euphemism for lovemaking - softer and more poetic than direct vocabulary.
register
Literary/euphemistic register only. In daily modern speech for the literal weather sense, prefer 云和雨 or just 下雨; for the romantic sense, you'll mainly meet 云雨 in classical poetry, period dramas, and novels.
