Gould van Praag et al. (2017) used fMRI neuroimaging to study brain connectivity while participants listened to naturalistic versus artificial soundscapes. Natural sounds (which include wind) increased parasympathetic activity and shifted default mode network connectivity toward externally-focused attention, away from internal rumination.
Wind is not studied in isolation. Its broadband spectral profile (pink-to-brown noise character) provides effective masking of environmental distractors. The slow amplitude modulation from natural gusting creates what Attention Restoration Theory calls "soft fascination," engaging enough to hold attention without demanding cognitive effort.