That wouldn't be a usual way of phrasing it. As it isn't something people usually see, I don't think you can rely on it being understood in a single way. People might read it like it was mistranslated, as I believe some languages' way of saying "wind from the north" literally translates as "wind of the north". Capitalisation might affect the reading as well, as English does not usually capitalise compass directions. If the world-building of a piece of fiction has established North was a proper noun with particular meaning, it would be more likely to read as being from further away. If not, it would be more likely to just puzzle people.
If you have that world-building established, and want it to be read as a wind that truly started in the area known as the North, "from the North" would be safer to get people to read it as being form a distance. "From the far north" would suggest that it originates a long way away, and combine the two to get people to reliably read it that way - "from the far North".
The natural ways to say it if you merely wish to say that the wind comes from the northerly direction would be "northerly wind". Alternatively, "north wind" has extra poetic connotations that would affect how people read it. "From the north" without capitalisation or adding "far" would usually be read as just indicating direction.