A windbag is a person who talks too much.
It should be noted that the term "Welsh Wizard" has been used when being complimentary about a welshman. This was a nickname for Lloyd George, a UK Prime Minister in the early 20th century. It has been used for others, such as when footballer Ryan Giggs scores a memorable goal.
Given the above, its origin seems simply to be alliterative, with a positive or negative word beginning with W being selected dependent on the speaker's intent.
This just in: Wellstone is not the silent type; A magazine ranks the Minnesotan as the Senate's third "biggest windbag.".(NEWS)
Sep 14, 2000; After one of his first debates in the Senate, a Democratic colleague approached Minnesota's Paul Wellstone to say that he...