Yes, there was one in 1999. https://en.wikipedia.org/wiki/1999_Salt_Lake_City_tornado

Strangely, it seemed to mostly affect the run-down part of town that was due for redevelopment, and completely destroyed the local gay bar (The Sun) which was the last business hold-out resisting the gentrification of the area.

Apparently the weather-modification tests of the '50s and '60s are bearing fruit.