The "UNDEFINED" is referring to the callback function, because it doesn't exist as part of the request.
You're telling it that you want the output to be in JSONP in the line:
dataType: 'jsonp',
But that API is responding with JSON (excluding a callback).
In order to access it cross domain with JSONP (which is the right protocol for what you're looking for), you need to use the AutoComplete API:
http://www.wunderground.com/weather/api/d/docs?d=autocomplete-api&MR=1
Then, you set the callback with cb=myCallback in the GET string:
http://autocomplete.wunderground.com/aq?format=JSON&query=Anchorage&cb=myCallback
The problem is, I don't see any way in that API to use the zmw= values, so you may need a workaround for the area of interest.