I found a video on Youtube of a Tornado Warning in Germany, complete with an air raid siren going off. The person is filming a storm and there's a little bit of lightning. A funnel cloud can be seen, though it's not your traditional pointy-looking funnel cloud, more like some very low hanging cloud, but definately a funnel cloud. At 00:38 of the video the siren starts to go off in the "Attack" mode, and a voice with a German accent can be heard saying, "Tornado Warning." The siren doesn't sound like an E57 to me, as the one in the video has a much lower pitch to it.
The name of the video is tornado warning-siren-lightning.
Very cool video! I've often wondered if other countries issued Tornado Warnings, and if so, do they use sirens to alert the public. This video answered my question. And evidentally Germany and some other European countries have several tornadoes every year.