At night I would consider crating him as then he is not annoying you, he cannot get into any harm by himself if locked out of the bedroom and he is in his safe 'haven'. Also during the day when you are inside and he is annoying you, you can crate him to keep him out of harms way.
Give him something else to do to take his mind off the wind, i.e. a Kong, a bone or something similar that he really enjoys and perhaps find a specific treat he really likes and use it only when it is windy as he will start to look forward to the wind. (hopefully).
Otherwise I would just be ignoring it and not letting him climb all over you when he is scared. He is allowed to seek comfort from you but not by climbing into your lap because that in itself can reinforce the fear. Perhaps just gently pushing him off and saying something like "what are you worried about" etc. with indifference to show him that it is really not a big deal. Also have you tried giving him a formal or informal command? such as "sit" or "go and lay down"? and if so does he actually respond?
"In order to really enjoy a dog, one doesn't merely try to train him to be semihuman. The point of it is to open oneself to the possibility of becoming partly a dog." - Edward Hoagland