It is conceivable that some of them had never seen a tornado before or knew what it was, but tornadoes have been described in European literature for thousands of years.

TORNADOES; BLASTING WINDS; WHIRLWINDS, AND OTHER WONDERFUL KINDS OF TEMPESTS.

But if it burst from the cavity of a cloud which is more depressed, but less capacious than what produces a squall, and is accompanied by noise, it is called a whirlwind, and throws down everything which is near it... The whirlwind, when it rebounds, differs from the tornado in the same manner as a loud noise does from a dash.

They also knew about waterspouts:

A black cloud is formed, resembling a great animal, an appearance much dreaded by sailors. It is also called a pillar, when the moisture is so condensed and rigid as to be able to support itself. It is a cloud of the same kind, which, when drawn into a tube, sucks up the water.

These quotes are from Pliny's Natural History, II.50, which was written in the first decades of the common era. I believe the word he used for tornadoes was 'turbines.'

Just a heads up in case you weren't aware, tornadoes have been known to occur on every continent except Antarctica, so it isn't as if they were a "new" phenomena to the Europeans.