WTF? We aint got no lions and tigers down here!
I've recently seen some docos about tornadoes and how the debris cloud can hurl objects clean through houses and stuff. I saw a nice big piece of timber (looked 2" x 4", maybe 8 feet long) that had punched through a roof, a few internal walls, an internal floor and the ceiling below, and had skewered a full sized fridge.
Bricks and timber do not stop tornado debris.
Supposing a cellar is not practical, would it work to simply line one room with steel armor plate? How thick would it need to be? 1/4 inch? 1/2? an inch? How much would it cost to line a small room? Is there an additional risk of being trapped inside the strong room with a collapsed house on top of it?