Do most pets get scared before tornadoes?

I put my birds (in their cages) in the hallway, closed the doors, turned off the hall light so the birds would be quiet and got into the linen closet before Monday's tornado. Heard roaring sound for a few minutes and then it got calm, my neighbor called me on the cell phone and said it was over & she thought it was safe for me to come out. Opened the doors and saw sunshine. I was telling this story to someone (in front of the birds) and Baby said "Weep!"...male parakeet's word for when they get scared (like when he hears a sudden noise or sees a spider crawling on the ceiling). Made me think he was scared by what happened and I didn't realize it until then.