I'm thinking that the roughness of those areas (more buildings, tall structures, etc) makes it more difficult for the tornado to form. While open areas with only a few houses or barns creates less resistance.
Tall buildings would make no difference to a storm. The supercell clouds can reach heights of 50 to 70
thousand feet... there a tall building may be one-thousand (and only cover a small area of land.)
Mountains on the other hand can reduce the chance of tornadoes* - but you're talking allot more height, and area covered by them.
*=and at the same time help storms get a start due to updrafts and such that they cause...storms that can after moving out of the mountains, go on to cause a tornado.
I have a feeling its more of a thing like GE101R said - there's a whole lot more 'open land' than there is 'city land', so by default you have a better chance of a tornado forming over somewhere open.
Also with storm-chasing videos...most storm chasers don't like chasing in city areas.