Where are cyclones form?

There is no type of weather event called a "sand cyclone" though there are two things this term could possibly refer to.

The first is a dust devil, a small vortex that somewhat resembles a tornado as it picks up dust. Dust devils form as the sun heats the ground, creating a layer of superheated air that can be as hot as 140 degrees Fahrenheit (60 degrees Celsius). This air will naturally tend to rise. As the rising air, called an updraft, develops it may encounter an eddy from the wind going over buildings, vegetation, or uneven terrain. The updraft pulls in surrounding air, causing the eddy to contract and intensify. The updraft spins and strengthens, lifting loose dust, and the dust devil forms.

There are also dust storms. These can form from virtually any source of strong wind moving over large amounts of loose soil. These winds can be produced by a passing cold front, or the outflow of a strong thunderstorm.