Does your weather widget use GPS at all? Many don't. Look at the app's permissions: fine location means it can use GPS, coarse location means it can only use wireless.
Leaving GPS enabled does not use power by itself, only when an app is using it.
However my device (HTC One M7) still works the way you want: the GPS toggle in the quick settings pull-down (Lollipop) does just that, toggles GPS and leaves the wireless location setting unchanged. I don't know about 3rd party widgets because with that facility I've never seen the need (I can toggle the setting without leaving my current app, which seems more convenient than having to navigate to a particular homescreen to do it).