The answer to the meterphor.

I think Mercutio is using metaphor to compare his day dreams to the wind.
“Even now the frozen bosom of the north,
And, being anger’d, puffs away from thence,
Turning his face to the dew-dropping south”
Mercutio is using the wind to illustrate the unpredictability of day dreams. Wind goes North then South as his dreams go one way then another. The metaphor also shows that there is nothing to get hold of, no physical thing to touch like wind itself.
“Which is as thin of substance as the air”
The effect is that it seams to say that Mercutio is very confused even panicked.