In the rain, In the sun etc.
Incorrect : They are playing football under the rain.
Correct : They are playing football in the rain.
Incorrect: Don't run under the sun.
Correct : Don't run in the Sun.
Incorrect : The man is sitting under the shade.
Correct : The man is sitting in the shade.
Note: “Under the rain” or “Under the shade” does not make any sense. "Under the Sun' is a phrase which means "at all". It is usually used to give force to an expression.
For example:
I am the last person under the sun to accept this proposal.