While the U.S. has the majority of tornadoes, they do occur on other continents as well, tough generally not as severe. New Zealand had one on May 3, 2011. The tornado killed one person and injured several others. It left a 3 mile-long trail of damage. On average, New Zealand gets about 20 tornadoes per year (about the same as WI) but they tend to be on the weaker side.
Here is a link to an amateur video, that shows the tornado and perhaps also indicates that New Zealand needs to better safety program to train folks what to do if faced with a tornado (watch how just keep driving).