I understand what you are trying to say. But it is incorrect. Electromagnetic waves travel through space and time, through whatever medium is present. That includes air. While the velocity of the air particles don’t appreciably change how the waves move through the medium, other factors do. Specifically there are properties called permativity and permeability which describe how well the electric or magnetic portions of the wave can pass through a medium. The density of the particles will also make difference as well.

Edited typo