This photo was taken in Akron, Ohio in 2014. In this photo we see what has been described as a snow roller. The phenomenon is very much real! They are cylindrical layers of snow rolled up due to wind. They require specific atmospheric conditions including: above freezing surface temps for a short period of time causing surface of snow to be melty/sticky, high winds to peel the top layer of snow off, usually a hill or wide open space, and all of that is followed by cold temps to maintain cylindrical integrity after formation.
Another
You can read more about them here and here
And of course, a National Weather Service article on the Great Snow Roller Event of 2009 in Idaho (Okay, I made that name up) found here.
Philadelphia Weather Authority 