Willie Fawcett transformed into Captain Thunder by uttering the word "Thunder" while he rubbed his magic belt buckle (a sensible change and precaution, considering "thunder" is a tad more common word than "Shazam"). Much like Billy Batson's trip into the subway that lead him to the wizard Shazam, Willie was on at a summer camp for orphans when an owl led him to a cave in which he found Merokee, the last of the great Medicine Men of the Mohegan tribe. He bestowed upon him the magic belt and gave him his magic word.
Judging by the illustration below, Captain Thunder was an incredibly lame concept. His powers come from three animals, two things, one person, and one abstract entity. Diamonds, rams, and tornadoes have nothing to do with Mohegan Indians. The other six items are part of nature, so it makes no sense to list them separately. It also makes no sense to attribute wisdom to nature, which has no brain or ability to think.
Moreover, the initials come from English rather than Mohegan words. Several of the powers are physical rather than spiritual. Toughness and tenacity are similar qualities. Etc.
Captain Thunder is a classic case of attributing mystical powers to Indians. Like Dr. Strange, a good medicine man or shaman can do anything by casting a spell or waving a talisman. One wonders how the Europeans ever conquered such powerful magicians. Where was Captain Thunder when the Mohegans needed him?
For more on the subject, see Comic Books Featuring Indians.