The story is in Plutarch, who reports that during the dedicatory games of a temple (I assume he means the Marian temple to Honos and Virtus) he set up Greek exhibitions (τινος...θέας--the word means "spectacles," but more precisely means stuff that's seen in a theater, usually plays) but instead of watching like the presiding magistrate was supposed to he just sat down and then immediately stood up and walked out. Plutarch is generally critical (as well a Greek might be) of Marius' supposed disdain for Greeks--in the same passage he notes that Marius never properly learned Greek and thought it was silly to teach it to Latin-speakers, and that if Marius had sacrificed to the Greek Muses and Graces (the emphasis is important--that Plutarch feels the need to even add the adjective in the phrase ταῖς Ἑλληνικαῖς Μούσαις καὶ Χάρισιν, when of course Roman ritual had no Muses or Graces, is kind of the point) it would have cured him of his intemperate disposition