The wind that comes into Chicago and blows Chicago around so much is the wind that comes off of Lake Michigan.
Lake Michigan is a pretty windy area and those wind gusts from Lake Michigan blow into Chicago which causes so much wind in Chicago.
I've been to Chicago before but would never want to live in Chicago due to the amount of wind that place gets.
Also Chicago wasn't actually named the windy city due to the actual wind blowing in that city but instead Chicago got it's nickname the windy city because of the hot air bellowing from politicians