Apparently this is a well-known saying in Lincolnshire, used to tell someone they've left a door open (compare, I suppose, 'Were you born in a barn?'). The supposed origin of the phrase is rather strange:
Bardney is a village a few miles east of Lincoln. It was the site of an Anglo-Saxon abbey, and in 679 Osthryth, queen of Mercia, wanted to transfer the bones of her uncle St Oswald to Bardney. The monks, showing a surprising degree of incipient regionalism, refused to accept the relics on the grounds that Oswald, when king of Northumbria, had conquered Lindsey (the Anglo-Saxon kingdom comprising part of modern-day Lincolnshire).
The monks shut the abbey gates against St Oswald's bones and refused to allow the coffin in, but during the night a pillar of light shone out above the body (a common motif; a similar pillar helped reveal the location of the body of Edward the Martyr). The monks, recognising a miracle when they saw one, realised that Oswald really was a saint and they had been wrong to leave him outside, so after that they always left their gates wide open (some say, removed them altogether). Hence the saying.
I got this from Heritage Lincolnshire, my new favourite people (My whole life is the Danelaw at the moment, it's really quite sad.)
And while I'm on the topic of medieval Fenland abbeys (which I am more often than you might expect), here's a medieval rhyme which commemorates some of their characteristics:
Crowland as courteous as courteous as may bee,
Thorney the bane of many a good tree,
Ramsey the rich, and Peterborough the proud,
Sawtry by the way that poor abbay,
Gave more alms than all they.
I note that even Wikipedia agrees that medieval Sawtry was often in debt; presumably that's why it's poor! Crowland apparently got its 'courteous' nickname from its good hospitality, but the others I can't shed light on. Another version runs:
Ramsey, the rich of gold and of fee,
Thorney, the flower of the fen country.
Crowland, so courteous of meat and of drink;
Peterborough the proud, as all men do think.
And Sawtrey, by the way, that old abbaye
Gave more alms in one day than all they.
These were compiled by contributors to Notes and Queries vi (1852), in the days when such antiquarian delights still counted as academic scholarship. If only they still did!