How come my little brother wake up with anxiety in the middle of the night?

Depends. It depends upon how old your little brother is, what's happening with him at home and at school, in the family, etc. Kids can have nightmares about all kinds of things, and are able to recall them. Another possibility during a deeper phase of sleep is night terrors. Child might wake up and scream out, but goes back to sleep in a few minutes or longer. There is no recall the next day.