Well, that's the theory I was told (and I've no idea if it's apocryphal or not) is that houses in a tornado-prone areas tend to be mostly wood, so that the structure of the house just flies away from the cellar when a tornado passes over. On the other hand, a brick-shelled building would just get its innards sucked out by a tornado and collapse inwards - which is bad news if you're hiding in the cellar.

By comparison, we prefer to build out of brick in this country because exposed wood rots too damned quickly in our climate.