A barometric damper is a must with a coal stove.. What you just experienced is what a baro is meant to prevent: excess draft causing too much air being pulled through the fire, resulting in uncontrolled heat from the fire..
Imagine if this had happened at night, and burnt up all your coal, so you wake up to a cold house. Or you adjusted the combustion air way down to compensate for the wind and cold, then while you were asleep, the wind dropped, your draft dropped and the fire was starving for air,, again you wake up to a cold house.
Install a baro damper ! It is like installing a 'speed control' on your car.. the setting of the air requires less guesswork and crystal ball reading..