I've heard it said about practically every major city, in the US at least as well as in a few other places. Someone will jokingly say, "Welcome to [Place]! If you don't like the weather, wait five minutes!" Or similarly, "Welcome to [Place], where you can experience all four seasons in a day." I've heard it said about California, the PNW, the rocky mountains, the Midwest, and the east coast. Even when I did a study abroad in Austria, an American expat made the same joke about Vienna.
The only place I've really been where the phrase doesn't really apply is Las Vegas, though during monsoon season it can be true. It can be 110⁰F and sunny one moment, then there are inches of rain

