Actually, Cape Cod wind power wouldn't go to New York, it would go to Massachusetts.  There are proposals to build wind farms off Jones Beach though.  I doubt either would happen since those pieces of real estate are among the most valuable in the world.
Maybe New York could push wind power on the continental shelf.  There have been some very interesting announcements of schemes for floating turbines in the past few months, and it would be good to accelerate some test installations and get data.