A tornado is in itself an anomaly. Every effect of a tornado is anomalous. I do not think this is what you meant so I'll now answer a different question:
What are weather anomalies associated with tornadoes?
The first and most commonly observed anomaly is a green hue in the atmosphere and clouds, often said to be luminous, before, during, and after tornadoes that resemble the Earth's magnetic auroras; this helps lead to a theory called the Electrogravidynamic Concept of Tornadoes.
Also, there are many strange lightning effects associated with tornadoes, from reports of mysterious luminous material within funnels, reports of ball and sheet lightning climbing funnels, and reports of a strange form of lightning said to be similar to ball lightning. Lightning is not always but commonly associated with tornadoes and the lightning is usually very strange.
Usually the tornado comes down from a funnel cloud but a number of reports suggest that a tornado funnel can precede the formation of a cloud and before cloud formation the funnel moves as a giant dust devil.
Tornadoes do not seem to issue suction unless the funnel is touching the ground. When not touching the ground a buzzing or sibilating noise can be heard from within the tornado.
The walls of the funnel can hold much dust, debris and/or water; the walls direct air upward but within the funnel air is directed downward.
The wall of the funnel can be composed of many layers moving at different speeds, this can account for descriptions of absolute devastation caused by the tornado and it "choosing" to leave nearby items untouched. Or to apparently "hold" one item still and then drive another object through it. (This actually helps to maintain the electrogravidynamic concept as magnetic locking would help to ensure lack of damage to both objects, such as a blade of grass through a board of wood without otherwise damaging either.)
There are many strange and poorly understood aspects of tornadoes.