It's impossible to predict which direction the wind will blow. Just ask Al Roker. Chicago, as a city, is a fickle place addicted to fame, and fame transfers from one person to the next faster than the wind changes direction. As Billy tells Roxie:
"You are a phony celebrity. You're a flash in the pan. In a couple of weeks, no one's gonna give a s*** about you. That's Chicago."
The only way to control fame is to control the winds of public perception, and that might be harder than controlling the weather.
As the title is derived from the setting, we go more in depth on this in our analysis of the film's setting, including the Cook County Jail and the rich (and slightly psychotic) world of Roxie's imagination.