It's a pretty confusing subject. Thor certainly has controlled the weather without Mjolnir over the years, but he didn't seem to have any mastery of weather as a child. Still, it could've just been that his weather control hadn't developed yet--the Asgardian equivalent of a prepubescent mutant, basically--or maybe Odin magically granted him that power as some kind of gift or birthright. Balder, the god of light, only learned to generate light and heat, seemingly out of nowhere, well into adulthood. Thor's weather powers could've similarly developed later. The main problem is that Thor doesn't really rely on his weather control for much, so people don't really get into specifics with it. He's got far more effective and straightforward powers to use instead. Why bother summoning a massive thunderstorm when you can split mountains with a single punch? His weather control is generally treated as a secondary power set, or just a natural byproduct of his being the god of thunder--sometimes artists depict storms just happening when Thor uses any of his powers or gets angry or whatever.
I'm definitely of the camp that believes he can control the weather all on his own, though.