Umm....something edible? Like witch or monkey (flying monkeys) candy? Or you could give them green goo and say it's the melted Wicked Witch...rain sticks (for the tornado and storm?), a bunch of silver stuff and call them "Tin Man Bags" or something...like silver pencils, candy with silver wrappers, face paint, pens, notebooks,
or, you could not do a goody bag theme, but do something like a "Flying Monkey Hunt," and have them all "fly" out of your house into the backyard, and grab all of the candy they can see....or you could say that you had their goody bags together before they got there, but a twister came through and scattered everything around the yard...so they have to put them back together....and you could play the twister music from the movie as they run around searching for stuff....