This is a mash up of “make something out of whole cloth” (fabricate a lie) and “into thin air” (vanish without a trace). Thin and whole both describe size, which might contribute to the crossed wires. “Hot air” (not sincere with no practical results) might also be in the mix, as the speaker of this malaphor was a lawyer. Specifically, it was heard on “Dateline ID” with Lester Holt. A a defense attorney criticized the prosecution’s description of the accused as a Jekyll-Hyde personality, and then uttered this malaphor. A big thanks to my “ol’ pal”, Beatrice Zablocki for sending this one in.