Wynd is a Scots word for what is typically a narrow path snaking through houses to join two major roads. In many places wynds link streets at different heights and thus are mostly thought of as being ways up or down hills. It is possible the term derives from lanes winding their way up hills to provide easier passage, but wynds can be dead straight.
In the East Neuk fishing village of Pittenweem, apart from the road down to the harbour, all walking connections between the shore and the raised beach are wynds, being:
West Wynd, Calman's Wynd, Bruce's Wynd, School Wynd, Water Wynd and Cove Wynd.
Whilst Cove Wynd does have a cave on it (St Fillan's Cave), Calman's Wynd is not derived from coal.
Another Scottish term for a wynd is Pend.
There is a Scottish Indie-Rock band from Edinburgh called Wynd http://www.myspace.com/wyndarehot