It says to collect air from the air, but is there a certain spot or place to collect it?

The little white tornadoes do not appear very often so you have to keep checking and villagers are not always successful in gathering this resource.

The only place that they appear is near/between the fire and the boat with sails at the far left of the Research Table.

It is best to take a few different villagers around the island gathering resources so that you increase their 'gathering' skill. I have found it best to take an experienced Gatherer to collect the 'air' from the tornado.

I also quickly grab a researcher towards the tornado on the beach to catch it in time.