I would argue that it's just a side-effect of having so much elementally-charged aether in that place. The Sea of Clouds has a lot of wind aether up there; it's what allows the islands to float, after all. Naturally there's going to be some weird weather effects. As for the Churning Mists... not sure how that stays aloft, but perhaps there's enough lightning-elemental aether up there to do it (the floating things at Moghome do glow purple, similar to certain things in the Sylphlands).

The aether would then just build up over time until it reaches a critical level and is discharged, producing the exotic weather effects.

As for Azys Lla, it's impossible to say because that place runs on tech and science we don't understand at all.