How old is Ellie? If this is a new thing, it could be due to loss of hearing making it hard for her to identify the sounds she is hearing.
As she is not bothered outside, as long as you are at the other end of her lead, keeping her near you indoors might help.
Cats dislike high winds, as they know they hear less well when the wind is behind them. Young dogs are usually not bothered, but older dogs frequently are.
Is she still scared after you tell her it is only the wind, in much the same tone of voice as you would use to a toddler scared by thunder?
Is it only in high winds she is off her food? If not, it would be well to get her to the vet for a check-up.