We have been in OKC during tornado season. We stay at Tinker AFB which has a tornado shelter. Thankfully, we've never had to grab our cats & head for the shelter. But, when traveling in areas like this - or when we have a storm forecast, we do some planning. We have had nights when we had to bring in the slides due to high winds.
And when out on the road we have pulled over and used the overpass for protection.
It takes some planning. If you're in a cg, ask if they have a shelter or if the bldg is open at night for a haven from the storm.