Which means when someone uses the phrase "snatch your wig" or anything related to "wig"
I see many people using this on twitter, with a very lively intonation and I do not understand why or where that expression came out lol

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It's not something I have ever heard - I guess it's an example of generational jargon. 
Urban dictionary is usually good for this sort of thing - http://www.urbandictionary.com/define.php?term=Wig%20Snatching
BUT - always check the ratings, which give you an idea if the entry is serious or not.

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I have never seen "snatch your wig."  But "wig" by itself -- or "wig out" -- can mean to get really angry about something or to act a little crazy about something.  Example:  "My mom totally wigged out when I told her that I don't want to go to college."   "Don't wig out.  Everything will be okay."    This is related to a somewhat old-fashioned expression -- "flip your wig" -- which has the same meaning of get really angry or crazy about something.