The energy associated with air is because:
of the motion of the gaseous particles
Air is made up of gaseous particles such as oxygen, nitrogen, carbon dioxide, water vapor, dust particles, etc., which are matter and have mass. Now when a certain mass is moving it has energy associated with it by virtue of the motion of the particles. This type of energy, i.e. energy due to the motion of an object or mass is called as kinetic energy. Thus moving air has energy associated with it due to the motion of the particles that make up air.