During certain events, external to your location such as chlorine gas in the air, a chemical spill or a fast approaching tornado it often makes sense to shelter in place (internally).
Develop a plan so that your organization can provide for your employees for 72 or more hours sheltering in place. Consider storing ample water, non-perishable food and sleeping cots. Medication can also be a concern. You may want to have the American Red Cross visit your company to help you design your shelter in place strategy and plan. I have called on them in the past and they have always provided wonderful value.
Even with a shelter in place plan there may be times when an employee simply does not listen to your advice and insists on leaving. Your company must have a policy on how to handle these types of situations.
Employees may be putting their life in danger if they venture into the path of a tornado or into an area that has noxious fumes.
Your policy may be to do everything possible to explain the hazards of leaving to the employee but to not keep people in the building against their will. This is something HR, legal and upper management must decide before it is rolled out to the enterprise.
A friend told me about an experience a few years ago, in which an air conditioning unit failed in the middle of a hot July day. It took a few days to get parts to repair the unit. They kept large fans in-house as part of their plan to address such an event but it was still sort of warm in the building. Management made it known that anyone who felt uncomfortable could leave. Some employees could work from home and others from a nearby sister location until the HVAC was fixed. HR stepped-up and decided to pay all employees, even the people that could not work from home or the sister location.