Generating wind power scenarios is very important for studying the impacts of multiple wind farms that are interconnected to the grid. We develop a graph convolutional generative adversarial network (GCGAN) approach by leveraging GAN's capability in generating large number of realistic scenarios without using statistical modeling. Unlike existing GAN-based wind power data generation approaches, we design GAN's hidden layers to match the underlying spatial and temporal characteristics. We advocate to use graph filters to embed the spatial correlation among multiple wind farms, and a one-dimensional (1D) convolutional layer for representing the temporal feature filters. The proposed graph and feature filter designs significantly reduce the GAN model complexity, leading to improvements on the training efficiency and computation complexity. Numerical results using real wind power data from Australia demonstrate that the scenarios generated by the proposed GCGAN exhibit more realistic spatial and temporal statistics than other GAN-based outputs.