Perhaps your son was a cat in a previous life? Cats hate wind, as it blocks the sounds, smells and sensations that they use to find their way around. My cat will not usually (unlike any other cat that I've had) curl on on my bed alongside me but this morning (with the wind blowing a gale outside) she jumped up on the bed and curled up on top of me.
While my previous paragraph is,of course, light-hearted, there's actually a serious point in it. People feel anxious and unwell if they're deprived of the sensations which reassure their brain that everything is 'normal'. That's why people suffer from motion sickness or get tensed up when watching a horror movie. It seems that something in your son's brain was telling him that there was cause for anxiety.
While fear of the wind is a recognised phobia
http://common-phobias.com/ancrao/phobia.htm
your son's problem is probably nothing more than a phase which he'll quickly grow out of. (I'd endorse Chuck's suggestion though, of showing him that the wind can be both fun and exciting. That will probably accelerate the 'growing out of it').
Chris