I assume that the wind is what blows, so that means the wind blows with winds (and sins).
It's a little like saying one's head is painful with pains or aching with aches, isn't it?
I don't know what the metaphor of sins blowing is supposed to mean either. Maybe we just need more of this poem before its meaning and/or symbolism becomes more
I am lonely, it blows with winds and sins No lie, I stayed in these rooms on my own I am not strong enough against you Don't let me stay without you I have just come to my senses
The main problem is that you have just slapped together various emotional phrases. They are not tied together grammatically or as discourse; there has been no construction of a poem.
'It' seems to refer to loneliness, though only the proximity of 'lonely' to 'it' suggests that; however, there is no other referent I can see.