In Erik Larson's "The Devil in the White City," the term "Windy City" is attributed to New York editor Charles Anderson Dana. This nickname was not derived from the city's weather, but rather from the boastful and exaggerated rhetoric that characterized Chicago during the time of the Great World's Fair. The city's ambitious claims and the hubris surrounding its development contributed to the perception of it being "windy."

The book delves into the historical context of Chicago during the Fair, examining how its leaders promoted the city as a center of progress and innovation, often resorting to grandiose language to attract attention. This interplay of ambition and reality is a central theme, illustrating how the city's identity was shaped by both its aspirations and its darker events, particularly the serial killer lurking in the shadows of its grandeur.