One of the earliest written examples comes from chapter 16 in the Book of Matthew. Shakespeare wrote it in his poem 'Venus and Adonis'.
The Library of Congress explains it by the scattering of red wavelengths. With red evenings, the sunlight is being sent through high concentrations of settling dust particles. This is an indicator high pressure is moving in. Consequently, in red mornings the sunlight, particularly the red wavelengths, light up the underside of moisture-bearing clouds approaching from the west.
Models have a series of disturbances set to move over Pennsylvania in the coming days. It sounds like an opportunity to test out this saying.