"It's beyond my understanding" is correct, but a mouthful! So we condense it to "it's beyond me".

Hello Safaa, " It is surpassing my ability to understand or comprehend something." It is usually reflecting a state of confusion, wonder or perplexity. In your example it means simply: " I can't understand why Mary wants to marry John."

It means I don't understand it, especially the reasoning behind something. "John is an idiot. He doesn't have a job and spend a lot of Mary's money. How she can stay with him is beyond me." "Why anyone would want to see a guy in fancy dress kill a bull is beyond me." You could also use it for knowledge as well, but I don't think this is as common. "Algebraic functions are beyond me. I just don't know how to do them."