I was thinking that since tornadoes are most common in the US, would have encountering a tornado for the first time been a terrifying experience. Are there any accounts of them encountering them?
You might like to check the existing FAQ section, though the little bit there is about European reaction to tornados in Europe. When I did a search a few days ago for "tornado", there were other hits referring to European colonists, but I can't cite them at the moment.
Edit: I had a chance to repeat the search. Alas, there was basically no useful information, pretty much just a pointer to the existing FAQ article on tornadoes in Europe.