This is in a sense a tethered airship and it's really vague in my mind, but there will be diagrams.
There's a vehicle called a wave glider, used to monitor whales, climate change and for military purposes. It floats on the sea and moves itself along by bobbing, and it's in the link below.
My idea
is for an aerial equivalent, working thus. A streamlined lighter-than air blimp is connected via a vertical pole to a platform whose weight exactly balances the lifting power of the blimp - neutral buoyancy. The platform is rectangular with its long axis parallel to the long axis of the blimp. It carries a transverse vertical sail in the middle which can flap towards the tail end of the blimp but is unable to become completely horizontal or vertical. As the blimp bobs up and down in the wind, it rocks back and forth, tilting the platform. This causes the sail to flop towards the tail, pushing the whole craft towards the front of the blimp. The whole thing then bobs back the other way, straightening the sail. Since the sail cannot become completely vertical, it continually pushes the "craft" in roughly the same direction. It isn't straight by any means, but it gradually drifts in the same general direction.
As such, it isn't hugely useful except as a novelty and to demonstrate that wind power can be converted directly to mechanical power. However, there is another option if such airships are tethered in a circular arrangement. Consider a ring of such airships joined to a horizontal wheel. The wind then blows them in a circle, causing rotary motion in one direction only, creating a horizontal windmill. Once again, this is completely pointless because horizontal windmills already exist.
I can't think of any practical use for this whatsoever, except that it needs no power of its own. Then again, unless it's on a rail of some kind it won't travel in a straight line.