This is anxiety. He's playing the "what if" game in his head. Make him play it out loud.
"I see that you're getting anxious because the wind is picking up. What are you thinking when you see the wind blowing things around?"
- That it's going to turn into a thunderstorm.
"Does that idea scare you? Why? What do you think a thunderstorm will do?"
- Thunderstorms can create tornados.
"Okay, if the wind turns into a thunderstorm, and if the thunderstorm produces a tornado, what do you think will happen?"
- The house will blow away and you and dad will be killed.
(Here's where you discuss the likelyhood of each of these events happening.)
"If there's a tornado, what can we do to proctect ourselves?"
- He has some knowledge on this, I'm sure. Then, take some steps to prepare for those eventualities. Put a plan into place then and there. He won't remember/care about a plan that's made three months before. He wants to be prepared then.
The other way to handle this, is to actually ask him "what if?" After the first revelation - the wind could turn into a thunderstorm, ask him, "so, what if that happens?" You continue to ask him "So, what if that DID happen" until he's reached his "logical" conclusion. Then you have a discussion about likely that final outcome is.
There used to be "choose your own adventure" books where you chose the next think the main character would do in the story line. Depending on what you chose, you turned to a certain page to continue the story. I think these books are really helpful for kids your son's age to understand that things aren't set in stone, that we do have some control over the outcome of most things - even when we think we don't have any control at all.