The Proto-Indo-European root is *(s)tenh₂- "to thunder". This became Proto-Germanic *þunaraz, which is found in Thor from Old Norse Þōrr "thunder god", and also Thursday from Old English þunres dæȝ "Thor's day".
The o-grade form *tonh₂- became Latin tonāre "to thunder", and Spanish tronar "to thunder" and tronada "thunderstorm". Tronada was borrowed as tornado. The change in spelling seems to partly be due to folk-etymology: the word is often explained as being from Spanish tornar "to turn" (OED).
The form *tn̥h₂- became German Donner "thunder" (as in Donner and Blitzen), Dutch donder, and of course English thunder. Blunderbuss is borrowed from Dutch donderbus, from donder plus bus "gun". It was influenced by the word blunder "perhaps with some allusion to its blind or random firing" (OED).