"At" would be what I think most people would use and expect to hear. It is raining on the beach. It has a feel that it is raining just on the shore as if I were on a boat just off shore looking toward land or at a beach house looking out the window. In this case, it is not raining where I am .. essentially I am "at the beach" but is raining just a short distance away on the shoreline.

At is the one you want. On would be like it is raining on top of the beach.