In Shelley's "Ode to the West Wind," "aery" is ethereal: light, intangible, refined, of the heavens. This simply describes the wind. The context of the line follows:
Angels [messengers] of rain and lightning: there are spread
On the blue surface of thine aery surge,
Like the bright hair uplifted from the head
Of some fierce Maenad,...
A Maenad is a priestess of Bacchus, the Greek and Roman god of wine.
The wind by itself is unseen, intangible. The wind is seen only through its effects. In this case, the wind is seen when it blows the hair of a Maenad. The classical allusion gives depth to the West Wind, and has the effect of elongating its existence, stretching its surges and effects back to the days of the Greeks and Romans.
The West Wind blows the hair of the Maenad, as it blows the wind and lightning of the approaching storm.