Well, I don't think any area is particularly "safe" when nature decides to unleash a tornado. But relatively speaking, I'd certainly think that any parking structure would be a safer alternative to leaving a car outside.

(I'm certainly not a safety or tornado expert, but having lived in a tornado-prone area for over a decade, I've seen the damage after tornadoes sweep through and suck up trailer homes, cars, livestock, farm equipment, etc. Given two options, I'd always pick the one with the more solid foundation and ability to withstand winds/debris flying at 150+ mph.)