An oxygen lance is the operation unit that generates supersonic oxygen jets, controls their behavior, and acts as a vital role in the steelmaking process. It is thought that airflow similar to a tornado may suppress upward splashing because of part of the jet pressure shifting from the axis of the oxygen lance to the tangential direction. Therefore, a new oxygen lance is designed to form a tornado jet, and the numerical simulation consequences are verified by the physical model. The structure of the new oxygen lance is optimized by numerical simulation results, and the comparison of simulation results before and after optimization is analyzed. On this basis, the effect of the cyclone oxygen lance on the upward splashing behavior, penetrating depth, turbulent kinetic energy, turbulent dissipation rate, and rotation of molten bath is investigated. The conclusions present that, compared with the conventional oxygen lance, the upward splashing with the cyclone oxygen lance decreases, and the penetrating depth and reaction area increase. In other words, for obtaining the same penetrating depth, the cyclone lance height can be higher than that of a conventional oxygen lance, which leads to a better protective effect on the refractories of the oxygen lance. Moreover, the average value of the turbulent kinetic energy of the cyclone nozzle is larger than that of the traditional Laval nozzle at the interface between oxygen and slag, which improves the effect of steelmaking.