Open your windows when a tornado approaches

What actually happened

The explosion idea had a plausible mechanism: pressure inside a tornado drops sharply, so a sealed box would burst outward. Houses are not sealed boxes. They leak through vents, eaves, chimneys, and gaps around doors and windows, and engineering studies found pressure equalizes far faster than the tornado's own passage.

What actually destroys houses is wind, and specifically what happens once the envelope is breached. Wind entering a building pressurizes it from inside and pushes the roof off from below, at which point the walls lose their bracing and fall outward, which from the debris field looks exactly like an explosion. That appearance is what kept the myth alive. Opening a window deliberately does the thing you are trying to prevent.

The National Weather Service, NOAA, and the Storm Prediction Center have all explicitly retired this advice, and Tornado Alley emergency managers spent years fighting it. Every second spent at a window is a second not spent in the basement or the interior bathroom, and it happens during exactly the interval when people die.