As IoTGirl pointed out, it looks like Azure Maps doesn't currently provide historical wind data. Not sure if there any plans for that to change in the future (this is a new service).
That said, one possible alternative is Azure's Planetary Computer. It has a collection of open data sets that are easily accessible in Azure. Here are the weather related data sets: https://planetarycomputer.microsoft.com/catalog?tags=Weather I believe this team is still working to onboard many additional data sets, but they have linked out to some of those data sets that are available on external sites as well.