Yes, the Go Direct^® Weather System (GDX-WTHR) has both wind speed and direction.

If you enjoy DIY projects you can also modify the Rotary Motion Sensor (RMV-BTD) or Go Direct^® Rotary Motion Sensor (GDX-RMS). Cut some flat stock to create a weather vane and bolt it to the threaded bearing on the sensor. The threading is a standard U.S. thread 6-32 (3/8″ deep), so you can purchase an appropriate bolt at a hardware store.

Another DIY option is to find a potentiometer that goes all the way around (360 degrees) and wire it a voltage divider so that the voltage varies with wind direction. A linear potentiometer would be better than a audio potentiometer.