By THÉRÈSE MARGOLIS  BAKU, Aizerbaijan — When it comes to bone-chilling winds, Chicago has nothing on Baku. Situated on the southern side of the tip of Azerbaijan’s jutting Absheron Peninsula, the ancient Azeri capital is almost constantly battered by chilling, triple-digit-velocity gusts from the Caspian Sea, tempered only by warmer overland breezes from the inland regions of the country to the