Where i live in Europe we don't experience tornados but we do have earthquakes and floods...
Well there's a problem.
Floods are probably more damaging than tornadoes, but it's not very expensive to handle a flood provided that you have levees on your rivers that are likely to flood. You can also simply raise the living floors in an apartment complex so that parking structures flood, leaving the living spaces relatively safe.
Making a structure "earthquake-proof" doesn't mean that your building is sturdy, either. In fact, you want the interface bewteen the structure and the foundation to act as a shock absorber (some flexibility) so that the building gets shaken around without cracking the solid materials (like concrete and brick).
Now here's the thing...if you raise the structure, you're not any more tornado-proof. Tornado-proofing a building inheirently makes it less safe for an earthquake, since the structure will have to be made out of more solid, heavy materials with rigid foundations.
I'll also add that, especially here in the US, the soil you lay your foundation on also makes a difference. In Oklahoma and Texas, for example, the soil is a clay that can dry out in summer months. People in those states actually water their foundations so that houses don't simply break off.
EDIT: Another angle I forgot...Tornado Alley has a lot of land, the population density is very low, and property is fairly cheap, meaning that you can get two or three houses in a place like Texas for the same that you would spend on one house in the Chicagoland area. Low property costs is one of the perks of living in these states, and building a giant, concrete house could nullify that advantage. Now pair that with the relatively low risk of getting directly hit by a tornado, and it's a very poor value proposition to build something that sturdy. Even if you factor in flying projectiles, your typical tornado will only leave scratches and broken windows (easy repairs), and your stronger tornadoes are rarer and even harder to perdict and plan for.
On second thought, let's not go to TechReport. Tis a silly place.