What CMS and players version are you using please?
The CMS preview will show the forecast according to the default display lat/long in CMS settings, on the players it will show it either according to display location if specified or if the location is configured in the widget itself then it will show that on all players.
If you open the widget and do request forecast, what does it show as local time?
If CMS is correct, does the weather shows incorrectly in the layout designer as well?
Have you changed the default cache / update interval for the weather widget?