In LGBT+ communities saying someone or something “snatched your wig” means you’re shocked by whatever happened. It comes from a drag performances where sometimes in more dramatic moments drag queens will literally take off another queen’s wig. Sometimes there can be another wig under the wig, making the whole event entirely premeditated spectacle, but usually the queen whose wig is pulled isn’t prepared and they have their actual hair revealed by the wig snatch.
This particular lingo speaks to the in-grouping found in LGBT+ communities. It’s a phrase referring to a specific act in a genre of show specifically produced, performed, and attended by a mostly LGBT+ folk group. The internet has spread the phrase around to become more mainstream but the nature of its origins shows how insular the environment it came about in was. The exact syntax is also flexible, with all sorts of small variations from “My wig? Snatched!” to sometimes just “Wig,” which makes sense given the LGBT+ communities general position as pioneers of evolving “archaic” language such as gendered pronouns.