1. … he was connected with the Daily Thunderstorm…
The Daily Thunderstorm is a jocular name given by Twain to the newspaper the young man represented. The name of the paper is already its characterization. It contains a hint at the kind of easy sensational stuff that filled its pages.
2. “Hoping it’s no harm, I’ve come to interview you.”
“Come to what?”
“How do you spell it?”
“Spell what?”
To express extreme surprise or disbelief part of the speaker’s remark is readdressed to him with the unbelievable section turned into the appropriate interrogative. This interrogative takes a heavy stress and a quickly rising intonation. This kind of response is known as a repeated question.