Does a green or yellow sky actually indicate a tornado?
You know, there hasn't been too much research into this... but there has been some. For the most part, it's been proven that a green sky most likely means that a thunderstorm is coming. According to a researcher:


  Green is significant, but not proof that a tornado is on the way. A
  green cloud “will only occur if the cloud is very deep, which
  generally only occurs in thunderstorm clouds,” Bachmeier says. “Those
  are the kind of storms that may produce hail and tornadoes.” Green
  does indicate that the cloud is extremely tall, and since
  thunderclouds are the tallest clouds, green is a warning sign that
  large hail or a tornado may be present.


In addition, a Scientific American article was run on this:


  Over the past 15 years, a small group of scientists have weathered the elements working on green thunderstorms as a pet project, publishing a handful of articles in meteorological journals. All point to the existence of green skies with severe thunderstorms but no direct connection to tornadoes or hail can be made.


They then go on to state:


  Threatening green skies during a thunderstorm also proved entirely
  independent of the type of severe weather that came with it. Gallagher
  measured hailstorms where the dominant wavelength of light was green
  as well as hailstorms where it was the typical gray-blue color of
  thunderstorms. Tornado-producing storms proved similarly divorced from
  any particular sky color, other than dark.


We do know that green skies are a sign of thunderstorms, though:


  The moisture particles are so small that they can bend the light and
  alter its appearance to the observer. These water droplets absorb red
  light, making the scattered light appear blue. If this blue scattered
  light is set against an environment heavy in red light—during sunset
  for instance—and a dark gray thunderstorm cloud, the net effect can
  make the sky appear faintly green.


So to sum all of this up: we know that thunderstorms sometimes create a green sky. However, there is no evidence to prove that a green sky is a sure sign of a tornado or hail. It is however a warning sign, as it shows that a thunderstorm is most likely coming, and it could be a strong storm.