This leads us to the question, what forms them? I am by no means an atmospheric expert but here goes... The key component is the heating of the ground which creates a large enough temperature difference between the air near to the ground and the air above it (i.e. creating a density difference). This then starts a process of convection (not an unfamiliar topic in volcanology, a similar process likely occurs within volcanic conduits). Following this all that is needed are appropriate wind conditions to push the dust devil into a vertical position and viola! This process probably occurs a lot more often than we observe, as it is with the entertainment of particles that dust devils become visible! A couple of good explanations (which helped a lot!) are included here and here (along with a good graphic in the latter one).
Many thanks are due to Oliver Lamb and Rudiger Escobar Wolf for links to photos of Colima (click on on Oliver Lambs name) and Sanitaguito (photo to the left). Also to Luca D'Auria for the initial post in a Facebook group. Dust devils have also been observed at volcanoes such as Mt. St. Helens and some fantastic examples at Sinabung, which are so good I had to included the YouTube video below. Of course dust devils such as this don't just occur at volcanoes and have also been observed on Mars!