Yes, for politics.

Why is Chicago called the Windy City?
The nickname originally had less to do with weather and more to do with politics. In the late 1800s, rival newspapers—especially in New York—mocked Chicago politicians for being “full of hot air” as the city lobbied to host the World’s Fair. Earlier references also tied the phrase to both windy weather off Lake Michigan and “windy” public speakers. Over time, the nickname stuck and became part of Chicago’s identity.