Yes, there are tornadoes in Alberta. The most notable of these was the Edmonton tornado of July 31, 1987. This tornado killed 26 people, making it the second deadliest tornado in Canadian history. Officially it was rated a high-end F4 but there is evidence that was possibly an F5, the highest rating a tornado can receive.
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Tornadoes primarily happen in southern Canada. The highest recorded activity is in Ontario north of Lake Erie, but this result may be biased as a tornado is more like to be recorded if it occurs in an area with a high population density.
Violent (F4+) tornadoes have also been recorded in Manitoba, Saskatchewan, and Alberta, including a confirmed F5 in Manitoba.
The greatest number of recorded tornadoes is found in the area just north of Lake Erie. This is somewhat deceptive however. The high population density makes it more likely that a tornado is more likely to be reported. In more sparsely populated areas more tornadoes may go unreported.