Here's why:
* It functions as a noun: It acts as the object of the preposition "where". The entire phrase answers the question "Where would they be?".
* It contains a subject and a verb: "they" is the subject, and "would be" is the verb.
* It expresses a complete thought: It describes a place where they would be protected from the wind.
Therefore, "where they would be protected from the wind" meets all the criteria of a noun clause.