"the foxholes" being those of WWII, which was going on when this phrase was popularized. Attributed sometimes to Douglas McArthur, but c.f. "There are no athiests in foxholes", which was said by William T. Cummings.

Interpretation of the phrase varies depending on the speaker, however it is generally used to point out people's inconstancy in their beliefs.

I don't see that praying, as an atheist, in a foxhole, has anything to do with the solidity or constancy of your beliefs. I would think that if I was in a foxhole under fire, I would do absolutely anything that might even conceivably improve my chance of getting my ass out alive. Even if you don't believe there is a God, hedging bets doesn't sound like a bad idea. If there is a God, and She won't listen due to your previous behavior, then either She's a petty God or She simply won't listen, that's all; but faced with death, the chance that maybe She would listen anyway is worth it.

Theists might use this phrase to suggest that atheists aren't sincere in their beliefs. When it's time to face the final curtain, vehement atheists will recant their beliefs and admit that a benevolent deity (or deities) exist...or so goes the line of reasoning. "There are no atheists in foxholes" is usually said with a humorous voice inflection.

Unfortunately for the newly-converted soldiers and the more seasoned theists trapped in such horrible situations, they soon find out that there are no gods in foxholes either.