"Tornadoes have been observed on every continent except Antarctica. However, the vast majority of tornadoes occur in the
Tornado Alley region of the
United States, although they can occur nearly anywhere in North America."
Tornado - Wikipedia, the free encyclopedia
Tornado Alley, USA: Science News Online, May 11, 2002
Looks like you can't really live in a place free of tornados, though you can certainly live in areas that are more or less prone.