The sound a tornado makes depends on what it is hitting as well as its size, its intensity and its proximity to the listener. The most frequent sound reported is of a loud rumble akin to a train.
A person extremely close to a tornado may hear shrieking sounds due to the rotation of metal within the tornado. Sounds similar to loud roars are possible, as are loud whooshing sounds. The whooshing is similar to the sound a large waterfall makes or the sound of wind entering a rolled-down car window in a car as it travels at high speed.