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Where is it located, basement or an enclosed room like a closet? Where is the chimney located, wall or roof? Does the chimney have a chimney cap on it?
Have you tried to block the wind in some way where it exits the chimney? If not then try that. Other than that you may need a new gas valve. The fact that you have a thermocouple indicates an older heater to begin with. There have been windy days in previous years so since the wind seems to not be the issue the only thing left is the gas valve itself. You may want to consider a new heater if thats the case, replacing gas valves are expensive.