Steel Rebar Reinforced Concrete is the best material for building however other methods may be used to provide some protection.
Walls should be made of poured concrete with a minimum of 8 inches width or can be built out of block which is tied together with rebar and filled with concrete. Hollow Core Block is not enough to protect you.
The roof of the structure should be a concrete rebar reinforced slab at least 4 inches thick.
Rebar must be used to tie the roof, walls and floor together into one unit.
A Steel Pocket Door is used to combat the wind forces that a normal hinged door may not be able to withstand and should be made of 10 gauge or better or be retrofitted with an additional 10ga covering on the outside surface.
As a note a secondary exit may be a good idea in-case debre blocks the main exit this could be a small steel plate door just large enough to exit through.
If the room is below grade in a basement you must provide battery backup sump pumps in case of flooding. Exiting the room because of flooding during a storm will not be an option. Take whatever precautions are necessary.
Ventilation is also important a battery backup fan that is vented that is protected from damage and infiltration to provide fresh air over an extended period of time will be needed in hurricane conditions that could last hours compared to short intervals needed for tornadoes.