I have not had what one might call a "Nightmare" in quite some time... since I was very young, but I can say this: Tornado dreams often occure when one is confused or trapped in some way, Whenever one feels as if he is going around in circles, not quite comprehending something. Hence the swirling of the tornado, going around and around, chasing you... Try and rationalize what might be confusing or disorienting you. At least, this has been my experience with tornado dreams.
-Leif