This FX is an example of a synchronized work between PopcornFX and Unreal Engine 4. We use a fully mathematical approach on our scripted behavior in order to achieve a perfect match between particle movement and vertex shader animation.
Firestorm
In this wireframe view of the effect, you can see the core of the tornado is a mesh and the rest are particle billboards.
The base mesh used for this is a simple cylinder, all the movement is done inside the vertex shader.
An overall view of the tornado's core material graph inside UE4