Is there a specific reason you want to do this? I'm not trying to talk you out of doing something you want to do, but building a legit probe that could survive a tornado and take quality measurements is a pretty high-end undertaking. People at research institutions and universities spend probably 5 to 6 figures from grants to research and build such devices using the highest-quality parts currently available, and even then they still sometimes run into problems with survival or, much more likely, managing to get a probe into a tornado.
Again, I'm not trying to be really harsh here, but in my time on this forum I have seen a number of people come through and propose to build some device to insert into a tornado to obtain some sort of measurement or get a video recording. They usually have grand ideas and a lot of ambition, but I have yet to see anyone churn out a product that works or get any measurements. I suspect the reason for that is the same in each case.
If this is something that is your dream and are truly passionate about, then don't let me detract you from your goal. However, you're going to have to do a lot of research to find materials to build a device that will work without bankrupting you. I suspect that after you look into this more deeply, you will realize you may have bitten off more than you can chew. However, here are my suggestions if you really are serious about it:
-Research. Do a Google search to find others who have attempted this. The folks at CSWR (the center for severe weather research headquartered in Boulder, CO and led by Josh Wurman) have made some probes. I saw some photos from PECAN that made it look like they were being used there, although probably not for the purposes of tornado research (rather, just ordinary atmospheric measurements). Tim Samaras made one, but I don't know if he made his designs public or well known to anyone. There is currently a thread on this forum (you can find it just below your entry in the Equipment section - or here:
https://stormtrack.org/threads/a-new-method-for-collecting-tornado-related-data.28341/) by someone who is trying to build a UAV that can drop probes into a tornado. While that doesn't sound like what you are trying to do, I think you can get a lot of insight from reading the posts in that thread. Lastly, the obvious: since you want to bulid something that can survive a tornado, look for materials that are strong and hard to resist impacts from debris. One problem you'll likely encounter is finding a material that has those properties but at the same time isn't incredibly massive. Heavy materials probably will possess strength, but you'll have problems moving the probe. Also, I'm sure someone out there is developing very strong material that is light, but it probably costs a fortune and may not even be available widely. You'd have to ask around some R&D labs or chemistry/physics departments to find such a material. You'll also need something that is reasonably sized, which means you'll probably need to consider a highly aerodynamic design to avoid the brunt of the winds.