The speaker seems to be the weather vane itself, perched on top of a building and pointing the way the wind blows. That makes the opening line playful and a little cheeky: "I give directions to the wind." In truth the vane only follows the wind, yet it speaks as if it were in charge, or at least as if it were the one who makes the wind's path visible.
The second stanza adds a note of confident familiarity. From its high perch, the vane claims to know the hilltop better than the hill does, a funny, slightly boastful idea, qualified by "in some respects."
The last stanza shifts the picture. "Vellum" suggests old writing material, and "a cathedral of paper" suggests a page or book as a vast, hushed space. The poem seems to wonder whether the speaker is also a written thing, a mark on a page. The mood is wry, contemplative, and still, with humor resting on top of something more reflective about writing and place.