Airdale

I think it is caused by the 'U' joints on the outer front axles at the wheel. 'U' joints aren't made to turn corners so when you cut the wheel sharp they cause a thumping as the joint tries to extend and rotate at the same time. Not good to do for the joint or the 4 wheel drive.
Take it out of either 4 and put it back in when you are running straight again.