Air under pressure cools as it expands (P1/T1=P2/T2). If Pressure1 is twice Pressure2, Temperature2 will be half Temperature1 (in Kelvins). Your breath is warm, so when you blow open mouthed, the air is warm, but if you blow through pursed lips, the change in pressure cools the air.
No, wind is cold because it pulls your body heat away from you. If it was blowing out of a pressure vessel it would be even colder. If it was REALLY fast it would be hot because of friction (energy=heat), but you would have been pulverized, and also the concrete would be stripped off the ground.
I know it's not actually that but I had a thought