This phrase intrigued me, so I did a bit of googling on it. In fact the internet is full of people asking what 'kissed me windy' means.
The full verse is this:
I drive on her streets 'cause she's my companion
I walk through her hills cause she knows who I am
She sees my good deeds and she kisses me windy
I never worried, now that is a lie
The song is about loneliness. The singer is alone with the city, and describes the city (the 'her' and 'she' in the lyrics) as if it were his companion/girlfriend. He feels the wind on the city streets on his face, and it feels like a kiss.