"The Thing That Walked on the Wind"

 by August Derleth 

originally published Strange Tales of Mystery and Terror, January 1933

Capt. John Dalhousie of the Mounties is making his last word on the disappearance of Constable Robert Norris, who vanished from Navissa Camp 7 months ago and whose body just turned up in a snow bank many miles away.

Norris was investigating an apparently abandoned village named Stillwater.  He had reported some weird experiences, including a kind of black emptiness in the sky, blotting out the stars, which rushed at him, sending him scurrying for cover.  To his great surprise, three bodies came plummeting out of the emptiness, two men and a girl. They are identified as being James MacDonald, Allison Wentworth and Irene Masitte - all on the Stillwater missing persons list. Though the men are relatively unhurt, the girl is dead and frozen solid.

Wentworth babbles a lot about a Lord/God/Death-walker of the winds, and Lhassa and Leng, old ones and elementals.  The latter gets the attention of Norris' friend and host, Dr. Jamison. 

Its seems that the good folks of Stillwater worshiped a fearsome air elemental and, apparently, made human sacrifices to it.

Wentworth eventually becomes coherent enough for Norris to piece together a story.  He and MacDonald had stopped in Stillwater while travelling, and not been made very welcome.  They soon noticed the weirdness was pretty serious and, were planning to blow town, when Irene came to them, revealed she was about to be sacrificed to the air elemental, and asked them to help her escape.  However, they were set upon by a giant being from the sky which swooped down on the village environs, wailing, and scooped them up as well as the rest of the villagers.  

MacDonald dies while Wentworth continues to babble about things, including Cthulhu, Algernon Blackwood, etc.  He dies.  Dr. Jamison shows Norris some books by Algernon Blackwood and some "old magazines" containing stories by HPL.

Norris notes that previous investigators of the Stillwater vanishing found the tracks of two men and a woman, abruptly halted, and what appeared to be the tracks of some gigantic being with human-like, but webbed, feet.

Norris has also found such a print.

Soon after Norris files a report saying something that watches him from the sky is pursuing him.

When his corpse is found, he is in possession of an odd, ancient gold plaque, of two struggling beings.  It is noted that the plaque sometimes gives off the sound of the winds.  

This one was published during HPL's lifetime, and the inclusion of his stories seems to be an in-joke more than anything.  The real point of reference is Algernon Blackwood's "The Wendigo", which seems to have mightily impressed young Augie.  Judged on its own merits this is a competent enough "Wendigo"-riff but no more.