I live in Oklahoma so we have our fair share of tornadoes. I would personally be more concerned about the cold in Colorado/western Kansas and/or severe thunderstorms than a tornado.
Yes, if you get a direct hit by a tornado, you might as well say goodbye. However, you can be within a few football fields of one and come through OK if you are low to the ground.
The weather forecasters in this part of the country are actually very accurate on storms and their locations. Carry a small AM or weather radio and if it looks bad (if greenish/yellowish skies and/or no animal/bird sounds be very alert) turn it on. When storms are present, they usually give updates every 15 minutes or so. If it is more than a couple of miles away and not on a direct path, no worries. Most tornadoes and violent storms hit between 3:00pm to 8:00pm so if in town you will hear sirens if an alert is issued.
However, tornado's are usually, but not always, accompanied by very violent storms with up to 4 inches of rain in an hour; hail (marble to baseball size); and/or 70mph straight line winds. If hail is forecast, keep an eye out for places to escape to (not much in Kansas though). Locals are usually extremely friendly so don't hesitate going to someone's house if needed.
All this sounds scary but I would not hesitate cycling Kansas in May (prime time for severe weather). The days can be absolutely wonderful with low 80s and everything green. Just keep an eye on the sky.