Most tornadoes form from thunderstorms. You need warm, moist air from the Gulf of Mexico and cool, dry air from Canada. When these two air masses meet, they create instability in the atmosphere. A change in wind direction and an increase in wind speed with increasing height creates an invisible, horizontal spinning effect in the lower atmosphere. Rising air within the updraft tilts the rotating air from horizontal to vertical. An area of rotation, 2-6 miles wide, now extends through much of the storm. Most strong and violent tornadoes form within this area of strong rotation. Several conditions are required for the development of tornadoes and the thunderstorm clouds with which most tornadoes are associated. Abundant low level moisture is necessary to contribute to the development of a thunderstorm, and a "trigger" (perhaps a cold front or other low level zone of converging winds) is needed to lift the moist air aloft. Once the air begins to rise and becomes saturated, it will continue rising to great heights to produce a thunderstorm cloud, if the atmosphere is unstable. An unstable atmosphere is one where the temperature decreases rapidly with height. Atmospheric instability can also occur when dry air overlays moist air near the earth's surface. Finally, tornadoes usually form in areas where winds at all levels of the atmosphere are not only strong, but also turn with height in a clockwise or veering direction.
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This is Tornado Alley, the place where the most tornadoes occur. As you can see, they happen more often in the south eastern area of the united states, nearer to the Gulf of Mexico. The Gulf of Mexico brings the tropical weather that is needed to create the swirling winds of the tornado.