A marriage between something and something is an idiomatic expression derived from the idea of a marriage between two adults, traditionally, a husband and wife, which indicates that two individual, disparate, separate entities (i.e., people) have been joined together in an alliance or bond. This applies to the expression, "A marriage between the natural and the supernatural," as follows.
Starting with the two entities, those being the natural and the supernatural, it is quite correct to identify these as disparate, separate, individual concepts. The natural, of course, is all things pertaining to the natural world: things that can be seen, heard, touched, tasted, smelled, or otherwise felt, like wind or heat. The supernatural is all things pertaining to that which is attested by some to be of this world but not perceived in this world, that which is beyond the natural [super- is a Latin loanword prefix meaning beyond or above]: things that can not be seen, touched, tasted, heard, smelled, or otherwise felt in a natural, normal fashion as you see a kitten, touch velvet, taste chocolate, hear Mozart, smell toast, or feel cold.
It cannot literally be said that the natural and the supernatural can be joined as two separate, disparate, individual entities, but it can figuratively be said that the natural and supernatural can be joined. This figurative metaphoric joining results in the idiomatic statement of a marriage between the natural and the supernatural. In practical terms, if you read or hear this figure of speech , you are being told that something, perhaps a poem or a painting, has combined the qualities of nature with supernatural qualities.
For instance, say you read a poem that describes a tall old manor house situated up on a small rise and surrounded closely by pine trees with its windows all open with pairs of white net curtains billowing gently outward from each window when the weather outdoors is still and temperate without a cloud or breeze to be seen or felt. You might then say that this scene presents a marriage between the natural and the supernatural because only the supernatural can cause curtains to billow outward through windows as though moved by a mild wind from within. Thus the natural and supernatural have been joined in a figurative bond or alliance.
"A marriage between the natural and the supernatural" is an allegorical stylistic and metaphorical expression that may very well be applied to fictional narrative, and is meant as a way to explain that the story combines Gothic elements (the supernatural), as well as romantic (naturalistic) elements. These types of stories are often found and classified under the movements of Romanticism, Magical Realism, Gothic Literature, poetry and drama. Contrastingly, a description of this kind does not fit under non-fiction due to its supernatural elements. In many occasions this phrase has been used to describe stories that will exude Gothic traits and spiritual defiance, but it is mostly a manner of promotion rather than literary criticism.