Turns out, 'snow devils,' or little baby snow-nados, are a thing. Someone got one on video while skiing near Idaho Springs just a couple weeks ago. 

It's probably not gonna take you away to Oz, but it's still pretty cool. According to KOMO News, snow devils are fairly rare because the vortex is created when warm air rises from the ground. You can imagine why that wouldn't be so common, because, ya know, snow, but it's still possible 'if much colder air moves in above the surface with some breezy conditions.'

That's what happened while Sean Gaubatz was skiing near St. Mary's Glacier in here in Colorado. (Via Storyful)