Alexis Madrigal explains why:
The simple answer is that warm, moist air from the Gulf of Mexico gets sandwiched between warm, dry continental air and cold, dry air from drifting down from the Rockies. The combination creates the perfect conditions for thunderstorms to form. A more detailed explanation of the regional air movements is available here.
As these air masses collide, they can generate a type of particularly dangerous thunderstorm called a “supercell.” They are characterized by their very strong, rotating updrafts accompanied by strong downdrafts. Tornadoes tend to occur at the interface between these two air movements.
While meteorologists are not quite sure why some supercells spawn tornadoes while others do not, it’s clear that having strong thunderstorms makes supercells more likely and having more supercells makes tornadoes more likely. Hence, the areas with the most strong thunderstorms tend to have the most tornadoes.
75 percent of all tornadoes on Earth occur in North America. Per square mile, Oklahoma has the fifth-most tornadoes of any state, and the fourth-most tornadoes on an absolute basis after Texas, Kansas, and Florida.
Indeed, while one hears of hurricane-like storms arising in other parts of the world (in the Pacific they are generally called Cyclones or Typhoons), one doesn’t generally here of tornadoes striking with ferocity in any other parts of the world.
