This aphorism seems to have been used to offend players of several different instruments – hence the specific reference in my entry.
Surprisingly, when I googled "ill wind that no one [or nobody] blows good", the only hit that was talking about musical instruments (as opposed to the original proverb) was a blog entitled The Big Apple. Author Barry Popik cites mentions of the piccolo and the clarinet, and woodwind in general, as well as the oboe and the saxophone; and the earliest reference it cites is for the saxophone (1921). The earliest mention of the oboe dates from 1929.
Adding "oboe" to my Google search obviously changed the emphasis; and I came across The Phrase Finder, which suggests that the remark was originally made, possibly by Thomas Beecham, about "the notoriously difficult–to–play French horn".
I'm not sure how to take this; virtually every musical witticism has been attributed to Beecham at some time or other. But the Phrase Finder adds that this particular one "was popularized [my italics] by Danny Kaye's character in the 1947 film The Secret Life of Walter Mitty." The actual quotation, according to the Phrase Finder, is "And the oboe it is clearly understood / Is an ill wind that no one blows good."
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