Personification, perhaps, which is a form of metaphor? That is, something non-human...the weather...is given human...ie mood...qualities. Anthropomorphism might also apply, though that is generally applied to the giving of human characteristics to animals rather than inanimate things such as the weather.
You may be thinking of Romantic as opposed to Classic? In the Romantic movement (in art/literature/music) the elements matched the events and the characters' feelings.
The term you're looking for is pathetic fallacy: when, for instance, a character receives some really bad news and then it starts to rain. It also applies to the description of weather with emotional adjectives, e.g. miserable weather, angry storm clouds.