"Cyclone" in the sense of a hurricane/typhoon would be 'taifuu'. In the sense of a tornado, it would be 'tatsumaki'.
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The wordサイクãƒãƒ³ (saikuron) may be used to mean 'cyclone' in Japanese. It is pronounced very similar to its English equivalent (apart from the 'r') as it's an English loanword.