If you have wheels, you could leave. If you get warning of a tornado, drive away, perpendicular to it's path.
Personally, a tornado would probably scare me to death.
But, I guess it's what you're used to. We had a large 6.7 earthquake in SoCal (Sylmar Quake) in 1971. In 1972, I was camping in the Black Canyon of the Gunnison National Park in CO. The couple in the next campsite came over to say hello after looking at my vehicle plates. The woman asked me if I felt that earthquake, and I said yes (I was out of bed and standing in the door way before I woke up). She said being in an earthquake would scare her to death, so they would never go to Calif. I asked where they were from.
They were from KANSAS, the center of Tornado Alley.
And the odd thing was, when I drove across country a few years later, I took I-70 clear across KS. I saw lots and lots of mobile homes. But I didn't see anything that might indicate an underground shelter, no mound of dirt that might have been dug out. There was just mile after mile of flat ground and rickety mobile homes.
