I can't imagine that the Plains Indians had many places to bunker down during tornadoes because the landscape was so flat. I've always been curious about this and it seems like I can't find a good combo of words to google it.
There was a very large thread last year about Native American records and legends of tornadoes. I'd especially refer you to this well-sourced comment.
Also, you might be interested in this one short thread about tornadoes in medieval Europe.