1)
Did a wind truly carry him?
1.
Radak: When they did not find him, they thought that a wind carried him to a mountain, like Bnei ha'Nevi'im told Elisha (Melachim II, 2:16) "Pen Nesa'o Ru'ach Hashem va'Yashlichehu b'Achad he'Harim."
2)
Why did he mention that he feared Hashem?
1.
Radak, Malbim: You should have mercy on me, and not cause my death. Nedarim 62a - this teaches that a Chacham may inform people that he is a Chacham in a place where he is not known. Where he is known, "Yehalelcha Zar v'Lo Ficha" (Mishlei 27:2).
