The project is about predicting electricity prices or understanding what factors affect them. Nowadays solar/wind have come to be the dominant source of electricity at certain times of day (in California especially), so how sunny/windy the days are should have a non trivial effect on the electricity supply. So weather data would be a key predictor variable along with things like natural gas prices, current demand, predicted demand, the day’s temperature etc.

Electricity related data (demand, price, type of electricity generated, day ahead price) is available here - https://www.eia.gov/electricity/wholesalemarkets/caiso.php
The EIA page also has natural gas prices, and the following NREL database has weather data (solar/wind/temperature) - https://nsrdb.nrel.gov/data-viewer