To an American Catholic “It’s a sin to complain” would sound very natural.

Did you mean "Can't complain"? I haven't heard this before either.

- How's your holiday? - Splendid, sin to complain.

I'm a native from the UK, and I've not heard that phrase before. Do you have a broader context you can place the phrase in?

I’m not from the UK, but I have never heard this phrase in any form of English.