rain hadith ..

anan (b.Malik) reported: It rained upon us as we were with the Messenger of Allah (salAllahu alayhi wa sallam).

The Messenger of Allah (salAllahu alayhi wa sallam) removed his cloth (from a part of his body) till the rain fell on it.
We said : Messenger of Allah, why do you do this?
He said: "It is because it (the rainfall) has just come from The Exalted Lord."

-Sahih Muslim: Book 4: 1960


Therefore this is a sunnah!
*However of course women must be careful not to expose themselves to non-mahram men