Caves with strong winds blowing from them have a long recorded history, and were classically regarded as one of the sources of the wind: Greenway* notes descriptions by Seneca1 (the Younger, in 63 C.E.), Lucan2 (in ~60-65 C.E.) and Pliny3 (the Elder, in 77 C.E.). Infact this is a wonder that crops up again and again in British wonder-lists as well. However, after the Historia the location seems to move to the Peak District of Derbyshire.
Both Henry of Huntington* and Ralph de Diceto* in the 12th C. (see Other Lists) have in their lists of wonders a cave which blows out clothing thrown into it - and both place it on "Peak Mountain"4. These are followed by Alexander of Neckam (late 12th - early 13th C.; quoted by Camden*: Darbyshire) who adds it "doth hinder all descent"*. In the 13th C. both Gervase of Tilbury* and Ranulf Higdon* include the windy Peak cave in their wonders of Britain. William Camden (*: Darbyshire) ties this to a cave under Peveril Castle known in his time as "The Devil's Arse", only to dismiss as nonsense tales of the wind (it is, perhaps, a reflection on our times that the cave, long known as Peak Cavern, has now been returned to its former name). Camden is equally dismissive of the notion that this is Elden Hole5, the Peak's largest open pothole at 34m (110ft) long, 6m (20ft) wide, and some 82m (270ft) deep*. It is certainly true that in neither case do current caving guides* mention strong breezes.
You can read more about the Wonders of the Peak District (a whole additional world of wonders) in this essay by Joseph Platt.