Or is it just 'Windy Wellington'?

Absolutely, postively. Living as I do in a small provincial city of around 50, 000, Windy Wellington is my favourite among NZ's larger cities. It is still the cultural hub of the country, and has the feel of being a wonderfully cosmopolitan overgrown village. One hasn't truly lived until one has crossed Cook Strait at night in a gale - now that's entertainment, at least for those of us born with total immunity to motion sickness.