Why do my eyes have a cold sensation in them almost like someone is blowing cold air at them.

Dry eyes. You cold be having the start of dry eyes. An ophthalmologist can recommend the appropriate therapy.
Hard to say. Without more information and an exam, but you could just be experiencing the symptoms of dry eye. Try to use an over the counter dry eye lubricant drop and see if your symptoms go away. If not, you might see an eye md.