There is a story about this that goes something like this: Pigs were delivered to the slaughterhouse on one side of the river, and needed to be delivered to the other side. They were loaded on barges and taken across. As the fog rose from the water, it covered the barge and you could only see the pigs "flying" across to the other side of the river.

         According to most resources, "when pigs fly" is derived from a very old Scottish proverb. There are also more famous references, such as the one in Alice in Wonderland, by Lewis Carroll. However, in other countries, it's not always a pig. In both French, Spanish and Finish, the phrase is actually when cows have wings. In French the most common, however, is when hens have teeth. In Portuguese, it's when snakes can smoke. Perhaps most interesting, in evolutionary history, pigs were known to have lateral projections extending from the scapula. Thus, it was believed that unless fattened and eaten, they would gain wings and escape. Hope this helps!