There is no innuendo if you are looking for an innuendo. He's literally talking about shaking the rain off an umbrella. He's happily married and neither his wife nor he like to dance so they don't shake anything but their umbrella. Get it?

What else do you shake on a fairly common basis, I suppose you also shake the bottle to get every last drop out. So it's bottle or umbrella.

Finnish people do not shake hands.

Sharing doesn't sound possible, or at least would require an unwieldy parasol or something.