It was the 1900-census that stated that both Albert and Anne had come to the US in 1882, and by the time of the 1900-census they had been married for six years - i.e. married abt. 1894.
If Anne had allready emigrated, there is no reason to believe that they were married in Norway. When Albert leaves Norway again in 1893 he is listed as unmarried.
If I were you, I would look for their marriage in or around the Adams/Austin, Minnesota area.