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. And that's what an explosion really is - when something gets really big, really quickly. When the bag is full of air, close the end.