I suspect it's the hot water heater vent pipe being affected by high wind, and thus causing a "severe" suction into the area where the pilot is burning which blows it out.
You could swap out that old, "dangerous", and "should be obsolete IMO" pilot with a new electronic flame-less ignitor pilot and you won't have this problem
Or you could see if there is such a thing as a code authorized, specifically designed vent cap to install on the very top of the vent pipe to reduce the suction effect ...but you have to be very careful not to compromise the draft up the pipe or the exhaust fumes and carbon monoxide will back up into the home and will be very life-threatening.
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