I went there, I am not 100% convinced this is a Chest for Windhelm because I only found two items in it.. Now, when I went to it I had not done business in Windhelm for over 30 days so I know the merchants are well stocked.
*if you go to the chest in Dawnstar or Whiterun you would find 20+ items in it for the merchants..
Those asking for Directions here is how to do it.
Start at Anga's Mill (just west of Windhelm on the river).
Head West following on the right side of the river (or north side)
The river is built as a stair step, water fall after water fall going from West to East.
Once you leave the Mill heading West you will go up a level and see a bridge (small), keep going West
The next level up the river you will see tent (like a hunters area) right on the waters edge.
Now you are at the correct level the stairs, see the tent? now see the water fall to the west (ish).
Your chest will be under that water fall.