Curious where you are from originally, OP? Surprised you've never heard a storm siren.
Just include one of these in your supplies in the shed and you can get out in no time.
Places I have lived...LOL... (not vacationed)
Greece NY
Great Lakes IL
Fort Macpherson, Ga
Tegucigalpa, Honduras
Millington, Tenn
Oceana, Va
Cherry Point, NC
Christ Church New Zealand
Camarillo, Ca
Williams Field, Antarctica
Covington, Wa
other places in Ca.
First time I heard a "weather horn"...but yes I have heard that style horn before.
I carry a John Wayne in my wallet.