Why did Arthur think he caused a tornado?
Because he was playing with a bull-roarer. He says that the Hopi Indians won't let their kids play with them, because the noise they generate are supposed to bring on "death and destruction," specifically by calling the whirlwind. (Arthur had made one just for fun, and was playing with it.)
Personally, given how smart Arthur is, I think he only thinks this because he is so upset about what's happened.