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One of my favourite captures ever! I think those dust devils are absolutely remarkable and crazy photogenic. 
Note: They shouldn't be confused with with tornados, as they form completely differently. Tornadoes form due to strongly rotating convective clouds/updrafts. Dust devils are in no way connected to clouds, further more it is mostly likely completely sunny when these occur! 
Dust devil, also sometimes referred as "Willy-Willy" (Australian term), form due to immense temperature difference, most often caused by extreme heat near the surface. The hot air is rising immensely quick, and the cooler air falls. When this happens, air can start to rotate and vortices become visible.