Cyclone is one of several nameless canon Wonderbolts. She is white with a yellow mane and tail, and often seen standing with Spitfire and Soarin'.
Cyclone appears numerous times in Episode 3 (The Ticket Master) in Rainbow Dash's vision of meeting the Wonderbolts.
According to the roleplay Twitter account @MLP_Cyclone, her hometown is Cloudsdale, and though she mainly resides in Canterlot, she visits Ponyville somewhat frequently. Cyclone is not always in the same location as Spitfire and Soarin'; since there are several dozen Wonderbolts, it makes sense that all the Wonderbolt flyers would not be in the same town or on the same tour at the same time.