My apologies. I would absolutely play Chi rather than AZ. Geographic conditions in the area (e.g., proximity to Lake Michigan, local prevailing winds, etc.) make Chicago a naturally breezy area. Another contributing factor is how the city was rebuilt after the 1871 Great Chicago Fire. Planners modeled new streets on the grid system. This resulted in man-made wind tunnels in high density areas, such as the Loop, as the wind could travel down the columns and rows formed by the buildings and pick up speed. However, regardless of these facts, Chicago is not noted to be significantly windier than any other US city. For example, the average annual wind speed (mph) of Chicago is 10.3, New York City, Central Park 9.3, Boston 12.4 and Los Angeles 7.5[1].
This "windy" explanation is from the Freeborn County Standard of Albert Lea, Minnesota, November 20, 1892 (digitized citation available on NewspaperARCHIVE.com}:
Chicago has been called the “windy” city, the term being used metaphorically to make out that Chicagoans were braggarts. The city is losing this reputation, for the reason that as people got acquainted with it they found most of her claims to be backed up by facts. As usual, people go to extremes in this thing also, and one can tell a stranger almost anything about Chicago today and feel that he believes it implicitly.
But in another sense Chicago is actually earning the title of the “windy” city. It is one of the effects of the tall buildings which engineers and architects apparently did not foresee that the wind is sucked down into the streets. Walk past the Masonic Temple or the Auditorium any day even though it may be perfectly calm elsewhere, and you will meet with a lively breeze at the base of the building that will compel you to put your hand to your hat.