For a tornado to start, two air masses must meet, a lower one containing warm, humid air and a higher one containing cool, dry air. During thunderstorms, unstable humid warm air moves upward and is stopped by a thin layer of cool dry air. This thin layer act like a cap on the warm air below it causing pressure and energy to build as more humid sir rises. When the cap gives way under the pressure of rising warm air, it releases a huge amount of energy in the form of an upward moving air mass.
Air currents move in from all sides to replace the rising warm air and some times form a tornado.
Usually, this does not happen. Wind at high altitudes plays an important role in determining whether a tornado develops. Depending on conditions, these winds can intensify the sudden upward air flow and create the vortex of wind that is a tornado. Tornadoes can happen anywhere in the world. However, due to certain conditions, the Midwestern United States is where they happen most frequently.