What Icelanders use instead
A waterproof, windproof jacket with a hood that cinches down, and a hat. In a downpour the rain trousers go on too.
Wind and rain arrive together
Iceland's rain comes with the Atlantic lows, and the lows bring the wind. Calm, rainy days do happen, mostly in summer and inland, but they're the exception you can't plan for.
Gusts are the real danger
Around mountains the wind gusts far above its average, strong enough to rip a car door from your hand or push a campervan off the road. Check the gusts on the forecast before driving, and hold the door with both hands.