I don't think you have too much to worry about CookieZenmilk. The only tornado I remember doing any real damage in Massachusetts was many years ago out in the Springfield area. That being said, I hope you never have a chance to worry about the siren. I can't imagine how scared I would be if I heard it.
My son was visiting his in-laws out in Ohio when the warning went off and, having been brought up in MA, he jumped in the tub with a mattress over him. The rest of the family thought it very funny and continued eating dinner. I guess you get used to it over time but I never would.