Prisons have disaster plans in place and can quickly react to the natural disasters.
Sometimes the prisoners will be moved to a more secure building during a tornado or other natural disaster or they may evacuate them to another prison a few days or so before the natural disaster is scheduled to happen.
During a tornado though they most likely will just remain in their prison cells on lock down.
Prison buildings are built pretty secure and are usually built to withstand tornadoes and a lot of other natural disasters but anything can happen.