How much will a board-on-board (shadow board) fence reduce the wind load?
This is an interesting read:

http://www.justanswer.com/structural-engineering/6escy-does-shadow-box-fence-significantly-less-windloading.html

The engineer says that there is no reduction in surface area, and the gap between boards isn't significant enough to significantly alter the air flow.  He also says that in reality, there may be a minor reduction in the wind loading, but not enough to make it worthwhile.

You may want to consider a Louvred fence (angle board fence).  However, these do not provide much privacy in the one direction, so you will want to angle the boards away from any nude sunbathing areas.