So I was playing NDAG and I got off a burn on Primal Kyogre. Is this something that happens naturally or is it just in showdown?
Along with the usual effects of rain, heavy rain causes damage-dealing Fire-type moves to fail (unless a Pokémon on the field has the Air Lock or Cloud Nine Ability).
Since Will-O-Wisp is a status move, it works in heavy rain.
Source: Bulbapedia