On a TV tornado documentary, there was a man in tornado alley who built a very thick-walled above-ground concrete shelter. I don't remember how it was anchored to or into the ground.
An EF-4 tornado came through; he got into his shelter; his house was blown away; he and his shelter survived.
The problem with shelters like this is that they're probably very expensive to build, especially if designed to hold several families.
Unlike earthquakes and hurricanes, which cause widespread damage, tornados have narrow, though intense, paths of destruction. Many people living in Texas, Oklahoma, and Kansas have never even seen a tornado. That's why so many victims are shocked when one finally shows up.
In southern Pennsylvania, where I live, every few years an EF-3 tornado comes through. With the dense population here, there's always damage and injuries. But I don't know anyone here that has built a tornado shelter. It's one of those it's-not-likely-to-happen-to-me deals.