It might be a smoke ring, but it's not known for sure.
There have been several sightings of similar objects over the past few years.
A ring was seen in Leamington Spa in 2014. Theories about its origin included a group of insects, as well as an ordinary smokestack (perhaps the ring stayed in one piece for an inordinately long time). Eventually, it was discovered that it was the result of a fireworks test.
A similar object was seen in Kazakhstan in 2015. Video of it received quite a lot of publicity, and many people labeled it a UFO. In that instance, the object was ~100 meters in diameter and ~200 to 1000 meters in altitude. The smokestack hypothesis was once again brought forth. Another article mentions that some people attributed the ring to thermal microbursts (see also here); however, microbursts move down, and your ring rose up.
An irregular ring was observed in Birkenshaw earlier this year (2017). This case is notable because the ring in this case was distinctly non-planar; it was warped, just like yours. It may have been from an explosion from a military reenactment.
This article notes that another ring was seen in Windsor, right near where you were:
There are many more examples besides these.
Some notable features about these rings:
- They are "hazy" or smeared in parts. In your case, you can see a dark section on the left; the Leamington Spa ring has a smear on the upper left and the Kazakhstan ring has a smear on the right.
- The rings are pretty circular. This may be an indication that they are artificial.
- Most are flat, but some (like yours) exhibit some warping, which could indeed be cause by wind.
- The rings are darker than the clouds around them, as we can see in all cases but that Kazakhstan ring.
- They were sighted near places where explosions were taking place on the ground (a similar ring in California was seen at Disneyland).
I'm willing to rule out microbursts in your case because the ring rose. Insects are still a possibility, and perhaps the smears are due to individual bugs flying outside the pattern, but I have yet to see any behavioral study to explain it. This leaves the theory that these rings are from smokestacks or certain detonations, which is well-supported. Not all of the rings were seen near heavy industrial areas, mind you, but that doesn't rule out that hypothesis in those cases. Smaller smoke machines or explosions could still be the culprits, possibly at a ride in Legoland itself.
The most similar type of cloud I can think of is a lenticular cloud, a common explanation for UFO sightings:
Image courtesy of Wikipedia user Omnisource5 under the Creative Commons Attribution-Share Alike 4.0 International license.
However, lenticular clouds aren't ring-shaped, but disk-shaped, and they usually aren't quite that flat. Therefore, I'd rule a lenticular cloud out here.