Warnings: short (if you count that as a warning)
Axis:
Italy/
He would probably forget to bring an umbrella for the both of you, so you would either have to bring it or you would both be running trying not to get wet.
Germany/
He would hold his umbrella in between the both of you and he would give you his jacket.
Japan/
Both of you would have your umbrellas in hand and be walking side by side next to each other.
Allies:
America/
He would take his jacket off and put it in between the both of you, to shield you both from the rain.
England/
He would pull his umbrella out and you two would both share the umbrella.
France/
He would share his umbrella with you and then hold your hands.
Russia/
He would give you his jacket and scarf and would be the one getting wet.
China/
He would give you his spare umbrella and would make you both tea after.
Extra:
Romano/
He would scold you for not bringing your own umbrella but then let you share his umbrella with him.
