Possible is a big word. A program manager friend used to say "sure, bring money." An underground home would be my first thought as tornado proof. Also energy efficient, but that's another topic.

But on a more realistic level, I think it depends on the tornado. IMO, an F5 direct hit would flatten almost any home that could be built at a reasonable cost. The forum members in Florida would have better idea, but you can "harden" your home with various upgrades to stand up to high winds (pick a number) and minimize damage. How well those changes would stand up to a tornado is open to question.

Perhaps another idea might be to investigate how much a tornado proof "storm cellar" might cost, and what it would consist of, so you can protect your family. The house can be rebuilt: the family can't.