It's really necessary to work with power, rather than energy.
For a vehicle to travel at any steady speed, v, the power it requires is the power required to overcome the frictional resistance--the rolling resistance on the ground and the drag from the surrounding air.
Let's suppose that a vehicle wants to travel at a speed, v, that is faster than the wind, then it will require some motive power, Pv.
If a vehicle can obtain at least that much power from the wind, using a turbine or other mechanism, then it can travel at that speed. It becomes an engineering problem of how to design that mechanism, that will necessarily include such items as turbines, fans, gears, shafts, even possibly a motor-generator combination.
There is no violation of conservation of energy implied, since clearly the wind has unlimited power available (if you want more power, just use more area for your fan/turbine).
To be clear, sailors know this, since they routinely sail downwind faster than the wind, as noted by my example earlier in the thread. If the wind speed is 20 mph due west, then racing yachts can travel 20 miles due west at an average speed greater than 20 mph. And they can do this indefinitely. Energy storage cannot be claimed for a boat that is travelling for an hour or more at these speeds.
(Specifically, if point B is 20 miles due west of point A, and the wind is blowing at 20 mph due west, then a boat can travel from A to B in less than 1 hour.)