I've just rewatched the Skypiea arc, and I realised that 400 years ago, before Jaya Island is blown up by Knocked-Up Stream, people from Shandia have wings.
People living in Sky Island also have wings, or it's more like people with wings are from Sky Island. Like people in Skypiea, Enel's crew from Birka.
Urouge also has wings and he's also from an unnamed Sky Island. As we can see, he talks to Kaido before he jumps from Sky Island.
Then, why do people in Shandia also have wings, even before they blew up? Are they originally from another Sky Island?