Umbrellas are constructed to resist pressure from above, which is were the rain comes from if you are holding the umbrella properly.
They are not constructed to resist pressure from below. If you’ve ever seen a comedy program or movie where a person lets the wind hit the umbrella from the bottom, you will see that it immediately collapses. This is not just a comic effect. It really happens, and it doesn’t take much wind from below to make it happen.
If you jumped from a plane and opened an umbrella instead of a parachue, it would immediately collapse. After that, it would just be something that makes you look silly as you fall to your death.