Although made of brass, the Saxophone is a member of the woodwind family.

"They are all triangles". Are they really?

How is rhubarb a triangle? And snooker uses a triangle to rack the balls, but it's not in itself triangular; mind you, a triangular table would be interesting...

The rhubarb triangle is an area of Yorkshire.

Yep, it's famous for people to going missing in when they talk nonsense.

I agree with pretty much everything said so far. But also, Melbourne storm and Tampa bay storm? These mean nothing to me. Anyone else know?

Tampa Bay Storm is an arena football team; that's the item that gave me that theme because it was clearly a phrase-based group, and a phrase beginning with a city is often a sports team. (I later learned Melbourne Storm is a rugby team.)
I hadn't heard of the rhubarb triangle either (probably not well known outside the UK), but it was fun to learn about it, and I think the other three were easy enough to clue the theme on their own. Fred, the answer should probably have said "___ triangle."

Survivor, the rhubarb triangle is not well known in the UK either.

Being honest, how well known are Tampa Bay Storm in the US? Surely it's not a household name like an NFL team would be.