Build it below ground with a sturdy door and that is about tornado proof. Underground is good. It takes advantage of the power of dirt. Dirt is cheap, easily available in most locations and it is pretty darn hard to break. You can move it around, in which case you might need to shovel it back into place, but generally it doesn't break.

In the Philippines they built houses into the side of a mountain. Put a concrete veranda peeking out the back of the mountain. Over this they placed a thick concrete slab hung off large chains. When a hurricane approaches they disconnect the chains and allow the slab to slope down to meet the concrete floor of the veranda. this protects the glass doors and back of the house.

When the storm passes they jack the slab back into position and reconnect the chains.