It's statistics.
The area occupied by metro areas <<<<<<< the area occupied by rural areas. So it is somewhat rare for big city areas to be hit by a tornado, even less so for downtown areas, which are smaller still.
Violent tornadoes are rare. EF-5's only occur once every few years it seems. You might have a handful of EF-4's per year. Tornadoes are much more likely to be "weak" than they are to violent.
Thus, the chances of two already rare events occurring at the same time is very very small. This is why most people think that the downtown's of big cities can't be hit. Metro areas do occasionally get hit by tornadoes, but most of them are not violent. It's only a matter of time before a violent tornado rips through any given area.
There are studies out there concerning the "heat island" effect of a city on thunderstorms, but it's relationship to tornadogenesis is much unknown at this point. IMO, the atmosphere is so huge and complex that adding a "heat island" (which is added energy anyways) isn't going to do much if anything to affect a tornadic thunderstorm.
Myths: Open your windows before a tornado hits. (The flying debris will destroy your house, not a sudden drop in pressure.) Seek shelter under an overpass on the highway. (Dangerous, it is not good shelter from wind/debris, and creates a bottleneck situation on the highway which is even more dangerous.) Our town/city is protected by a small mountain/hill/valley or river/lake. (Tornadoes can go uphill, downhill, through valleys, over rivers/lakes. Again, the atmosphere is huge and most of these features will have little/no effect on a tornado.)