When a 200MPH tornado hits directly, there are very few above ground shelters that will withstand it. If you heard the news reports, Oklahoma is right above a large bedrock formation. It is expensive to blast out underground places. VERY few places have basements. Many of those folks did have some sort of reinforced room in the house, and the schools had 8 inch thick block walls....hardly "building out of sticks".
Oklahoma does know how to build... within financial limits. Pioneers in various areas did things differently.... and one tornado didn't hit thousands at one time.