Why does my WH pilot go out when the wind blows outside?

is vent covered/hooded ? still getting 'blow back' from somewhere ... call your plumber ...

If it is a new water heater contact the manufacturer and explain this to them. They should be able to give some precise info.

Is the vent termination on the roof substantially higher than any nearby roof? If it is too low, the roof may be having an effect on venting. Try spending time near your heater when it's windy. Can you feel any drafts around the heater; top or bottom? If so, try to position things to protect the base of the heater from the drafts. If there are drafts coming down the vent, a taller vent and possibly better style vent cap could help. Make sure both inner and outer combustion chamber doors are in place. Is the pilot light quite small? Very small pilots are easier to blow out and could indicate a partly clogged pilot orifice. Does the pilot flame hit the end of the thermocouple nicely? Tightly insulated homes can be a vaccuum on windy days. The wind sucks air out of the inside an tight home and airs moves through the path of least resistance, the heater vent. The pilot flame can actually be pulled off the pilot assembly and blow out.

Sounds like either you have blowback or the flame is being drawn out by a vacuum effect.