The most common and most likely answer to this crossword clue is the 5 letter word GUSTY
I've seen this crossword clue in Financial Times
G
U
S
T
Y
More clues leading to the result GUSTY
Buddy explains!

The straight part
We know that "Windy" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case windy = gusty.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does GUSTY mean?
GUSTY adjective- (of wind) Blowing in gusts; blustery; tempestuous.
- (by extension, metaphoric) Characterized by or occurring in instances of sudden strong expression
- (metaphoric) Bombastic, verbose.
- With gusto