I have "chased" storms and occasionally a tornado for over 40 years. Yes, I have been close enough to several to hear the roar quite well. This includes one F5 which was the Jordan, Iowa tornado of 1976.
A mesocyclone, which is the meteorological feature that produces nearly all large tornadoes is a very rapidly rotating vertical updraft. They are very noisy due to the wind and hail that is within the updraft. So even if the tornado has not touched down, you will likely hear it as it approaches. The sound is very similar to that of an approaching train that is under power as it increases speed or is pulling up a grade with 6 or so engines pulling in tandem. It has a quality that is more of a pulsing low frequency throbbing that can be felt in your chest sort of like the big base speakers that are used in some cars. Once you hear it, you will never forget it.
After the touchdown, the debris and wind blowing through the trees, buildings and the debris itself becomes very overwhelming. In fact, many people who have been through a tornado have stated that it was so loud and individual sounds couldn't be distinguished, that they perceived that it was quiet.
In reality, the wind, which by itself in lesser tornados can be described as a whooshing sigh sort of like air escaping from a large truck tire only magnified several hundred times. But, with a lot of debris and trees and building being torn apart, it is very hard to hear individual sounds. One of the most amazing audio tapes I heard was one from the northern Alabama tornadoes of April, 1974 which was in a house that was destroyed. I listened to that particular tape dozens of times and it was very difficult to pick out the sounds of any one thing breaking. Most of it was just a load roar. But it was one of the survivors of this house that said it was quiet. When they heard the tape after discovering that the tape recorder was recording when it happened, they couldn't hardly believe it.
an old forecaster