It’s the middle of winter here now, so let’s start off with something that happens much more in the summer here.
All thunderstorms need a few ingredients to form, including a source of moisture, warm wet air and cold dry air that interact, and a mechanism to trigger an updraft (more on this in a moment). In North America, the source of moisture is often either the Atlantic or Pacific Ocean, or the Gulf of Mexico — the moisture does not need to be where the thunderstorm forms, but rather where the air that feeds into the thunderstorm originates from.
Warm air blows over (say) the Gulf of Mexico, picks up moisture, and then continues on into the Southern US, where it may form a thunderstorm. This warm, wet air is typically close to the planet’s surface — it picks up the water from the ocean, and does not rise very high (yet). This low, warm, wet air may encounter cold, dry air from the Rockies. If this happens, the warm wet air will be lifted up by the cold air, and the moisture in the air will condense into a cloud.
