A cascaded lattice Boltzmann (LB) approach based on central moments and multiple relaxation times to simulate thermal convective flows, which are driven by buoyancy forces and/or swirling effects, in the cylindrical coordinate system with axial symmetry is presented. In this regard, the dynamics of the axial and radial momentum components along with the pressure are represented by means of the 2D Navier-Stokes equations with geometric mass and momentum source terms in the pseudo Cartesian form, while the evolutions of the azimuthal momentum and the temperature field are each modeled by an advection-diffusion type equation with appropriate local source terms. Based on these, cascaded LB schemes involving three distribution functions are formulated to solve for the fluid motion in the meridian plane using a D2Q9 lattice, and to solve for the azimuthal momentum and the temperature field each using a D2Q5 lattice. The geometric mass and momentum source terms for the flow fields and the energy source term for the temperature field are included using a new symmetric operator splitting technique, via pre-collision and post-collision source steps around the cascaded collision step for each distribution function. These result in a particularly simple and compact formulation to directly represent the effect of various geometric source terms consistently in terms of changes in the appropriate zeroth and first order moments. Simulations of several complex buoyancy-driven thermal flows and including rotational effects in cylindrical geometries using the new axisymmetric cascaded LB schemes show good agreement with prior benchmark results for the structures of the velocity and thermal fields as well as the heat transfer rates given in terms of the Nusselt numbers.