It really doesn't matter what city you choose, even the largest tornadoes are only 2 miles wide at the max, which is a tiny portion of a metropolitan area. The 5-3-99 OKC tornado is what would happen in any city. The only difference would be the number of fatalities, which would be exponentionally larger in most areas outside of KS/OK/TXpan (and yes, this includes DFW, which, for a Tornado Alley city, has some of the most pathetic severe weather coverage in existence).
I keep seeing the "downtown whatever" scenario being thrown out; you'd probably want that actually, because steel high rises stand a much better chance against a tornado (even a violent one) than residential structures ever would. Look at what an F2 can do to a typical neighborhood, and then look at downtown Ft Worth from March 28, 2000. No contest.