Air carrier flight crew reported GPWS alert on approach. Flight crew took evasive action and landed uneventfully.

Narrative

Receiving vectors for the visual approach to Runway 33 after concluding Janny5 arrival. Heading 160; ATC says maintain 3000 until abeam of Van Nuys airport; which would then be to our North when turning towards BUR. We were not yet cleared for the visual approach. Just as I am questioning our vector towards the South of our desired track to the visual approach towards BUR and our altitude clearance of 3000; we have a TERRAIN; TERRAIN; CLIMB; CLIMB alert from our GPWS. Our altitude was then 3200. Disconnected the autopilot and climbed; received our cleared for the visual approach; Runway 33. We could now fly back to our desired track well to the North of us and concluded the visual approach to the runway. I believe the Controller thought they had another minute or two before they could steer us to the visual track; however we had a substantial tailwind from the North that took us further South than the Controller had counted on. Sure glad this was under VFR. ATC failure to understand our track; altitude and ground speed. Suggestions: Have similar things happen in the past where the Controllers do not understand wind effect on ground speed. To me obviously Controllers are not briefed on winds aloft in a quantitative measure."