I guess you are using the phone app, because on desktop you can see the map when setting the alert. The screen is larger.
On a small screen, it's difficult to imagine displaying the Windy map and setting the alert at the same time.
However in the setting steps, a small map is already available and I assume you are able to imagine the cardinal directions on a map (N, NE, E, SE, S, NW…)

When you set the wind or waves direction, you can come back to this small map and check the directions. Step 3 -> step 1.