The best advice from every engineer with whom the author has ever discussed this is to leave the windows alone and get into the basement or other shelter as fast as possible. One should not think first of the house roof, but of the impact of one's death on one's family, or of one's self unnecessarily crippled or scarred for life. Theoretically, this would allow air to move through the house, and reduce any buildup of interior pressure. There is no evidence that any opening of windows ever helped to hold a roof in place. The best advice is still to forget the windows and get to a shelter.
Tornadoes never strike big cities.
This misconception has a small kernel of possible truth at its heart. Before we get to that possible bit of truth, we first have to make a number of things clear. In actuality, if you were to compare the downtown where these buildings occur with the rest of the city, it would comprise a rather small percentage of the city's area. The boundaries of the city are outlined in green. The entire city is also surrounded by suburbs, which are outlined in purple.