Organisers had tried to beat the weather by starting the event earlier than planned.
But with gusts of more than 40mph forecast, the decision had to be made to end the event early on safety grounds.
A statement on the Lytham Festival Facebook site read: “It’s with a heavy heart that we’ve had to cancel this evenings second act of West End Proms due to the high winds.
“The forecast has changed all day, with the Met Office and our two on site weather stations being closely monitored. Unfortunately, we have reached wind speeds that make the site unsafe for our customers and staff.
“The safety and welfare of our customers and staff is of paramount importance to us, and we would never compromise this.
“The rehearsals this afternoon were outstanding, and we thank the many performers who made the trip, some internationally, to be with us this evening.
“Finally, we thank you, our audience for your support.
“We will of course be offering ticket holders a refund, but given the nature of administering this, please give us 48 hours to publish full details of how this will work.
“We are sorry that such a wonderful week ended like this, but we will pick ourselves up, and bring you a wonderful programme for 2017.”