As you already may know, "the windy city" was actually a phrase used by the city of Chicago to promote their breezey beaches. LATER, a writer for the New York times used it as an insult for the boastful manner of Chicagoans during the world's fair. It has also been used to describe their politicians, whose lies and false promises have lead people to say they are "full of wind."
So if a know-it-all tool says to you, "You know, Chicago isn't called 'the windy city' because it's windy," you can say, "Fuck you. Yes it is."