Thunder is not made out of a thing. Thunder is an event.
Thunder is when a certain thing happens.
If we could see thunder, it would probably look like the design above these words sound waves getting pushed and pushing through the air. Thunder is a huge, enormous push of sound waves. The push is from the heat of a tremendous electrical spark the lightning. Thunder is the sound we hear from an explosion. The air around the lightning gets very, very hot and expands really quickly.