Frightened to say a word about Chicago! (5)

I believe the answer is:

windy

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'frightened' is the definition.
Both the answer and definition are adjectives. Maybe they are linked in a way I don't understand?

I don't understand how the rest of the clue works.

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(Other definitions for windy that I've seen before include "Chicago, the _____ City" , "Gusty" , "Timid - tempestuous" , "Breezy" , "Conceited - nervous - registering on the Beaufort scale" .)

I've seen this clue in the Evening Standard.

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