The Windy City (7)
'the windy city' is the definition.
(Chicago is nicknamed the Windy City)
This is the entire clue.
(Other definitions for chicago that I've seen before include "A windy place" , "Windy City of USA" , "Musical (in Illinois?)" , "American city; musical" , "Port on Lake Michigan" .)
(Other definitions for wellington that I've seen before include "Waterproof boot" , "Victor at Waterloo" , "Kind of boot" , "City" , "Knee-length boot" .)