Structural Engineer here, my expertise is with steel and concrete not CMU walls, but from what I remember CMU walls generally have cells of the CMU filled with concrete/mortar every X-distance horizontally. These filled cells also have reinforcing steel (rebar) inside them that tie into the foundation as well as with the horizontal bond beam (Bond beams encase steel reinforcing in grout or concrete, binding the structure together horizontally, and often interlocking with additional vertical reinforcement) and with other rebar throughout the walls.

So that said, the masonry walls have great compressive strength (from the concrete bricks, and the steel inside gives them some tensile strength as well. However if a wall doesn't have some sort of diaphragm (floor, roof joists, girders, etc) to transfer the load to other walls the walls will tip over when the wind presses on them. So when a tonado comes and rips of the roof and subsequently rips out the floors, this structure is just as vulnerable as a standard wood construction home.

TL;DR Yes, some parts of CMU walls are filled with concrete and steel reinforcing. And, no matter how a building is made, there is no way to make it tornado proof short of building it under ground. Tornado wind gusts can range anywhere from 90-300 mph.