You're correct in stating that Winnipegs heyday was in the 20's but Winnipeg remained a very significant City in Canada, and in the west for long after that. Also, being located in Central Canada was a bureaucratic hub of this country with countless civil servants that could easily have felt that they are in a central and important place in the middle of the biggest nation on Earth. With the intersection of Portage and Main oft considered the 0 mile point to go in any direction. Not to mention that the very history of this nation, the founding of it, the exploration of it, the fur trading of it went through hubs like Winnipeg which could be considered the spine of the nation.
Heres historical population census;
http://en.wikipedia.org/wiki/List_of_largest_Canadian_cities_by_census
Winnipeg was still the 4th most populated City in the Nation as recently as 1956-1960 and then relatively speaking went south to obscurity. This being within the lifetimes of a considerable population that is still residing in Winnipeg and that would have instilled some of this imperious Winnipeg mystique into their children. You agreed that an older generation that learned to hate the success of the Oilers, and even Calgary Flames could influence a younger generation. Of course they could too if they equally despised the shifting civic importance of cities in this nation. In that respect, more than any, given its relative decline and forgotten empire Winnipegers could easily despise other cities and be green with envy.
There was a time, and it was even within my lifetime where Winnipeg was considered the quintessential Canadian City for good or bad. From a hockey perspective was even the home of our National hockey squads.