A: He should run to the bomb shelter and continue to Daven the Shemoneh Esrei there.This is based on two factors: 1. It is a case of a life-threatening situation.2. Walking in the middle of the Shemoneh Esrei without speaking is not considered an interruption.For example, if I am Davening the Shemoneh Esrei and a child is bothering me to the point that I cannot concentrate, I can move to another place.Or if I am Davening by heart and I cannot remember "Ya'ale Ve-Yavo," I can go and get a Siddur.Speaking is forbidden, but there is no problem of moving if there is a need (Mishnah Berurah 104:2).Therefore, if I am in the middle of the Shemoneh Esrei and I hear a warning siren for an incoming missile, I should go to the bomb shelter without talking and continue to Daven where I left off (Piskei Teshuvot, Orach Chaim 104.Shut Be'er Moshe 3:13.Nes Lehitnoses by Ha-Rav Yoel Schwartz at the end, in the Q&A of Ha-Rav Yitzchak Zilberstein during the Gulf War #39).