The Cleveland, Ohio, Herald says that a tremendous thunder shower passed over that city on the night of the 3d inst., and adds :-- "Between three and four o'clock next morning the appearance of a vessel on fire was seen far out on the lake. Some persons thought they could distinguish the sails. During a heavy gust of wind the light disappeared. Such appearances are not unfrequent on the lake, and the more experienced men along the dock think there has been no vessel burnt."