The Collaborative International Dictionary of English v.0.48:

Cyclone cellar \Cyclone cellar\ or Cyclone pit \Cyclone pit\ .
   A cellar or excavation used for refuge from a cyclone, or
   tornado. [Middle U. S.]
   [Webster 1913 Suppl.]

WordNet (r) 3.0 (2006):

cyclone cellar
    n 1: an underground shelter where you can go until a storm
         passes [syn: storm cellar, cyclone cellar, tornado
         cellar]