The weather needs to be pretty boring for this to work. Think clear skies and light wind. Dust devils form when a pocket of hot air rises rapidly through the cooler surrounding air. The velocity of this rising motion causes the air column to stretch vertically, and it begins to spin thanks to the conservation of angular momentum. This is the same reason figure skaters spin faster when they pull their arms in toward their bodies.
In this case, the bonfire heated the air around it and it rose rapidly, stretched and began to spin. A very light wind must have been present, since the whirls drifted away from the bonfire. In some cases, debris and ash were still on fire inside the whirl, which obviously poses a significant risk to the crowd downwind if they don’t get out of the way.