Thunderstorms with sleet occur when elevated thunderstorms develop on top of an arctic cold airmass. On March 2nd, 2014, thunderstorms developed around 20-30,000ft. A warm layer was located around 5,000ft above the surface and was nearly 50º; but a shallow arctic layer was located underneath that.
Essentially we had thunderstorms producing rain which fell into a super cold airmass and the raindrops froze causing sleet. In this case, we had the unusual phenomena known as 'thundersleet'.
Tammy Hill Parks sent us this video from Howe, Oklahoma.
Below is a meteorological image known as a SkewT from BUFKIT which shows the vertical profile of the atmosphere; you can see the elevated instability aloft, warm nose of 46º, and freezing cold shallow layer near the surface.