It seems this fetish is spreading. My family is from a fairly small island in the Mediterranean where all the houses are constructed of solid reinforced concrete and foreigners who are buying property for vacation homes have been putting up little timber boxes which are the subject of local gossip.
brick walls have good downward (and in-line lateral) force resistance and suck at every other direction and torsion. tornado forces are multi-directional. wood frame walls are strapped down to the foundation in earthquake/tornado zones. plywood acts against (some) lateral and torsional forces.
plus, flying bricks are more dangerous to squishy humans.
In either case, building a home out of stone would do very little to stop, say, a refrigerator picked up by the tornado moving at 200 mph. Nor will it stop the house from pressurizing and blowing the roof off, stone or no stone. I mean, it could, if the walls were a foot thick each and there were no windows.
As a result, most Americans in the Tornado Alley (who can afford it) have a basement that has stone walls, and just accept the small probability that they lose almost all of their home.