A tornado this last spring in Jerold, TX was the perfect example of why this is a myth. Frequently, tornados are completely hidden from sight by heavy rain and hail, so you may not be able to see it coming. Also, it is often very hard to see a tornado when it is dark outside. Opening windows to equalize air pressure will save your roof, or even a home, from destruction by a tornado. The extreme low presssure in a tornado will cause a home or building to explode.
Lightning never strikes twice in the same location.
A person struck by lightning retains an electrical charge and should not be touched.