If they can fit through a 1x1 space, that would explain it. First time I got the cold wind event I ran outside to take the fight away from breakables and saw a drake flying around inside my bedroom. Will try plugging gaps and see what happens. Chimney is so tall I can seal the top, smoke despawns before it gets that high.

I noticed during ground based raids that inbound mobs "know" if they have an open path to me. Shutting a door can make them suddenly switch from homing in to attacking the nearest base structure. Will see if the flyers also behave that way.