Light is not only a particle. It is also not only a wave. It is both. It does not need a medium to transmit it like sound does. Strong winds do have areas of higher and lower density, and those do bend light slightly. Stars twinkle because of it. Newer telescopes use real time active correction by moving mirrors to compensate for atmospheric disturbance of light. The difference in density between the air near a hot road and cooler air above it causes the shimmering water mirage you see in the distance on a hot road.
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