Or merely a windsock. And it not only tells the direction of the wind but also an estimate on the wind speed. This is by the railway, and important in the case if some freight wagon containing gasoline, gas or chemical becomes damaged and leaks gasses into air.

What comes to word vane (or fane), it comes from the Old English word fana, meaning 'flag'.

Sources:
en.wikipedia.org/wiki/Windsock
en.wikipedia.org/wiki/Weather_vane
www.etymonline.com/word/fane