Kansas winds were mostly out of the south, SW to SE, so no advantage either way there.
(We went west.)
We had one hell of a day in Wyoming when the headwinds picked up -- 50 mph by one local's estimate. No other significant advantage in winds either way.
By the way, I was asked "Why did you go west?" at a local club meeting, and I asked, "Did any of you lose any tree limbs with the 94 mph winds last night?" Everybody looked blank. I pointed out that the jet stream is at 30,000 feet, and if they didn't notice that blast, they wouldn't have noticed the wind blowing west to east in Kansas, either.
I thought the western mountains were easier than the Appalachians. From that standpoint, go east. The climbs were a lot longer, though!
A group that caught up with us had long night-time discussions, and came up with a significant advantage for going west. In Kansas in particular, leaving early in the morning to beat the heat is popular. If you're riding west, traffic passing you at dawn is not looking into the rising sun, and doesn't have the glare it might if you were riding east. That hour or two of safety is big plus for west-bounders.