Wordorigins.org

Chicago is known as the Windy City, but where does this nickname come from? Sometimes the obvious answer is the right one. The nickname is a reference to the winds off Lake Michigan, with perhaps a bit of a double entendre referencing Chicago’s self-promotion as a bunch of hot air.

The nickname has been around for nearly 150 years, with the earliest known appearance of the name Windy City in a headline in the Milwaukee Daily Sentinel on 4 July 1860:

We are proud of Milwaukee because she is not overrun with a lazy police force as is Chicago—because her morals are better, he [sic] criminals fewer, her credit better; and her taxes lighter in proportion to her valuation than Chicago, the windy city of the West.