I don't think the great circle argument is relevant. The lines are merely converging either direction you look, just like borders of a road do. But it is a cool phenomenon, and one I'd never heard of before. Thanks, VO!
APOD: 'Pictured above are anticrepuscular rays. To understand them, start by picturing common crepuscular rays that are seen any time that sunlight pours though scattered clouds. Now although sunlight indeed travels along straight lines, the projections of these lines onto the spherical sky are great circles. Therefore, the crepuscular rays from a setting (or rising) sun will appear to re-converge on the other side of the sky.'