I've been trying to dig around and see if anyone official has said anything about this.
During the Pre-Cataclysm event we had weather in Stormwind and Thunder Bluff. It would be cool to see Stormwind have some weather (Maybe some storms and some wind actually?). Orgrimmar could have dust storms, maybe some rain or snow in Darnassus, Beer storms in Ironforge...
Not sure if there's been anything said though. Maybe there's some limitation on the weather and we'll never see it?