Yes tornadoes do occur in other countries

Tornado kills 2, damages hundreds of homes in central Vietnam
Malaysia Star - Malaysia
HANOI, Vietnam (AP): A strong tornado struck several villages in central Vietnam, killing two people and damaging hundreds of homes, an official said Friday ...
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http://thestar.com.my/news/story.asp?file=/2007/6/15/apworld/20070615111452&sec=apworld