What an irresponsible and reckless misrepresentation on NPR's part. The fact FEMA recommends this doesn't mean that it's safe—most people who follow that advice will still die—it just means it's the minimal advice they can plausibly offer to limit aggregate deaths, to people who don't have the a budget for or interest in building fallout shelters.
Can you hide from wildfire smoke by merely closing your windows? Nuclear fallout is a finer particulate than that smoke.