Just argued with a sailing friend about whether gusts veer (in the northern hemisphere).
Found minute_weather.csv
dataset on the Internet (claimed to be real).
It seems that there may be some correlation between increasing wind speeds and veering (clockwise turning of wind direction), but it is probably not very noticeable, if noticeable at all (at least in that particular location).
Roughly speaking, gusts veer in 60% of cases (70% if we consider only bigger gusts with delta_speed > 4).
Note: dataset has resolution of 1 minute, but if something interesting happened on a sub-minute scale one can think it would be noticable on a minute scale as well.
Upd: Just found this: https://forums.sailinganarchy.com/threads/gusts-dont-veer.173981/ May be a better-suited dataset (seem to have actual gust windspeed) and author says there is no correlation.