I think the last tornado in metro STL was 1958? I remember growing up in south STL and sitting on the bluffs overlooking the river. Some terrible looking clouds would come in and dive down off the bluffs and over the river. You could see tornadoes tearing apart corn fields in the plain in Illinois. That is one of the things I'll always remember from my youth in STL. But this theory about the Arch I think is purely one of chance.
Most tornadoes happen in the later part of the day into the early evening. There are always people up in the Arch until what, 5PM CDT? That's prime tornado time! So the theory just doesn't match reality. No tornadoes since 1958 and the Arch was done until what, 1966? That's 8 years without one before it was even constructed. But I highly recommend you go into the Arch if you have the chance. It's worth it.