I don't think there's anything specific about the air that changes the wind noise. Up here it howls all year round. Mostly through the open-fronted building but especially around the fencing and the lamposts.
It could, and I'm guessing here, be something to do with surrounding foliage. In the summer the wind will be baffled by leaves. In winter the wind will hit the bare branches and I expect the wake effects and resonance in the wood could have something to do with the change in sound.
If you're talking urban, though, it's either because where you live the winds tend to be stronger in the winter, it's a psychological effect caused by the weather looking more bleak and "howly", or something to do with air temperature that it's far too early for me to work out right now. I haven't had any coffee yet.
Sam (oceanographer rather than meteorologist, but I did some meteorology)