No, bagpipes is not the most air consuming wind instruments. Tuba and flute consume much more air than the bagpipes.
The flute is the highest pitched wind instrument, it takes much air to achieve these high pitched notes.
The tuba uses air that is about two to three times more than air consumed by bagpipes, trumpet or French horn. The most amazing thing about the tuba is that the lower you play, the more air the tuba consumes.
So therefore, bagpipes is not the most air consuming wind instrument.