European city, wind consuming one (5)
I believe the answer is:
turin
'european city' is the definition.
(Italian city)
'wind consuming one' is the wordplay.
'wind' becomes 'turn'.
'consuming' indicates putting letters inside.
'one' becomes 'i' (Roman numeral).
'turn' enclosing 'i' is 'TURIN'.
(Other definitions for turin that I've seen before include "City abroad" , "North Italian city" , "I turn to the Italian city" , "14 Italian city" , "Italian city with sacred Christian Shroud" .)