For a movie that seems to have a whole load of outdoor scenes, including a tornado, the fields of Kansas and an entire emerald city, you'd have expected most of the work to be shot on location. That just wasn't all that practical in the era the movie was made in. In fact, almost all of it was filmed in studios.
Only two scenes in the entire picture were shot outdoors - the cloud scenes that appear at the very beginning, and the other cloud scenes that show up at the very end! This wasn't exactly comfortable for the cast - the new color filming process required a lot more lighting than the old black and white movies did, and all those studio lights together generated a lot of heat. Temperatures got as high as 100 Fahrenheit on set, with actors in heavy costumes fainting, and some cast members saying that the intense brightness caused permanent damage to their eyes.