Goddess of the Wind

"In the Stormlands, according to ballads of the age, a man named Durran fell in love with Elenei, whose father was god of the sea and mother was goddess of the wind."

- Bran Stark

The Goddess of the Wind is an ancient deity mentioned in the legend of Durran Godsgrief, the first Storm King. She was the mother of Elenei, who had been fathered by the God of the Sea.

When Elenei fell in love with Durran and gave her maidenhead to him, becoming a mortal afterward, her parents, enraged, sent forth a massive storm that destroyed Durran's bayside keep as a "wedding gift". Durran declared war on Elenei's parents and rebuilt his keep, which was again destroyed. Four more castles were raised, each stronger than the last, and all of them were destroyed. Durran's seventh castle, Storm's End withstood the rage of the gods.

In the books
In the A Song of Ice and Fire novels the legend of Elenei and Durran is the same. Even though the First Men had adopted the Old Gods of the Forest of the Children of the Forest, there's no mention of which gods they worshiped before their conversion. Elenei's parents, the deities of the Three Sisters - the Lady of the Waves and the Lord of the Skies, which made storms every time they mated -, and the Drowned God and Storm God of the ironborn, all indicate the belief in elemental gods.