I've never heard that quote before but PETA gave him the Linda McCartney Memorial Award in 2005, so I'm assuming it was said in relation to that? In his acceptance speech he said they'd never met but had been pen pals for several years, and Paul said Linda was "very into Morrissey, writing him letters all the time". It's a pity she couldn't do the backing vocals on "Frankly, Mr. Shankly" when Moz and Johnny asked her, I would have liked to hear it.
They're not such an unusual couple - Linda McCartney and Morrissey have done more for vegetarianism and animal rights than anyone else in the whole entertainment industry.