The United States extends from tropical conditions in the south along the gulf, to arctic conditions in the north. The Rockies from a barrier on the west, and the Appalachians on the east. The wind patterns coming off the Rockies, and how the moist warm air meets the colder northern air creates tornadoes predominently in the middle section of the US, where it’s relatively flat.
Tornadoes do happen in other countries, but not with the same frequency.
Fascinating read on tornadoes.