Like a few others here, I reasoned that thunder must be the clouds, which move so fast during a storm, running into each other. And the lightning? Sparks from the collisions, of course.
I also used to think that trees caused wind by moving their branches. I figured they all must have to agree to do it at the same time to make a strong wind.
A childhood belief about thunder and lightning

others believed things like this
- I used to believe that, by moving their branches from one side to another, trees made wind.— Pilar
- I used to think that the tree branches moving was making the wind, not the wind making the tree branches move.— Jenny
- I used to believe that the trees moving caused the wind to blow.— naomi
- I used to believe that the wind was caused by trees so you could stop the wind by getting rid of trees.— Nira
- I used to believe that wind was created by the trees, that it came out of the ends of their branches. — STeve
- I used to think that the wind was caused by all the trees waving about.— dismal dunc