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Electrolysis hydrogen generation technology is one of the feasible ways to alleviate the problem of wind electricity curtailment. One promising hydrogen value-added application is to blend hydrogen into the natural gas grid and sell it as the heat energy carrier. This paper aims to discuss the feasibility of a roadmap to urban energy internet with wind electricity-natural gas nexus. Firstly, a framework is raised to integrate wind electricity generation, electrolysis hydrogen generation, and hydrogen-natural gas blending systems. Secondly, a series of reasonable hydrogen supply profiles are provided based on annual electricity curtailment and realistic natural gas scheduling. Then, an energy optimisation model and a techno-economic model are applied to simulate the generation of electricity and hydrogen, as well as determine the most economical hydrogen supply scheme. Finally, a case study in the Beijing-Tianjin-Hebei region of China is taken to validate the benefits of the proposed roadmap. The preferred scheme is worked out with the net present value of 88.8 M$, including the economy configurations of the electricity-hydrogen hybrid generation system, as well as the hydrogen-natural gas blending plan. The results also indicate that annual electricity curtailment and annual carbon emission are decreased by 204 GWh (48.8%) and 40.2 kt (49.9%).