Origin of Vayu Lok and Vayu Dav as per Skanda Puran..

On the northern side of Varun lok is situated a city named Gandhvati. It is here that Vayudev resides. It is said that Kashyap's son Putatma had performed a tapasya of Mahadev.

He established Pavaneshwar which has the capability to destroy all your sins. It is said that Putatma performed a tapasya constantly praying and singing the praises of Maheshwar and Parvati, referring to them as Gyan Swarup and Shakti swarup, also Gyan shakti and Kriya shakti

and the creation of this universe as their Kriyashakti. So Shiva appeared before him to grant him a boon. So Putatma requests Dev to reside at that place. This divine place destroys your sins. He is referred as Vayu dev. This place is Vayu lok.