LEARN CHICAGO STUFF
The four red stars represent:
The Great Chicago Fire of 1871
The World's Columbian Exposition of 1893
The Century of Progress Exposition of 1933–34
Sure, Chicago is windy, but not enough to be the reason for this nickname.
Back in the 1870s, non-Chicagoans found Chicago politicians to be braggarts and never really shut up, so they were 'windy'.