Snickers does this, too.
She's got these huge ears, but you can't tell because they flop down, but she will stand facing into the wind and her ears blow straight up and back, it's hilarious. LOL I say it's a good thing she's attached to a leash, because one day the wind might get under those ears and pick her up and she'll fly away!
She also LOVES the snow. We live in the Northwest and we have gotten so much snow this winter, it's ridiculous. We were actually finally starting to see the ground again, when we got about 2 more inches today, and Snickers is loving it. She will stick her whole face into the snow and come up looking like she's wearing a white mask. I usually have to drag (not literally!) her back in the house after a few minutes so she doesn't turn into a little frozen puppy-scicle.
Michelle