It's true that mountain tornadoes are unusual. For one, mountain air is generally cooler, making it more stable and less favorable to the formation of twisters. High elevations also leave little room between the clouds and the ground, making it difficult for tornadoes to develop and stay organized [source: Prociv].
But unusual doesn't mean impossible. Just ask Scott Newton, a backpacker trekking through the mountains of California's Sequoia National Park on July 7, 2004. Approaching Rockwell Pass, Newton noticed rotation in the clouds in front of him and began to take pictures that meteorologists later used to place the ground circulation of the tornado at an elevation of about 12,156 feet (3,705 meters) [source: Monteverdi et al.]
Lower, but much more devastating, was the Teton-Yellowstone tornado of July 21, 1987, which crossed the Continental Divide at 10,072 feet (3,070 meters). Rated EF4 (the second-strongest rating on the Fujita Scale), this beast tore a path through Yellowstone National Park and the Teton Wilderness, uprooting an estimated 1 million trees [source: Thuermer].
Clearly, tornadoes, even powerful ones, can strike mountainous areas, so it's still important to be prepared. If you can take shelter in a building, find an interior room and stay put until the threat is over. If you're backpacking, like Scott Newton, try to find some sort of depression and lie face down with your hands over your head. If possible, get away from trees in case they become airborne. Rockies or Plains — it's still a tornado!