The Mediterranean is perfectly capable of producing tsunami waves, I'm afraid - there's plenty of archaeological evidence for major phases of desctruction from both earthquakes and tsunami waves from cadiz to Syria. The Mediterranean basin contains one of the world's hotspots for Caldera supervolcanic erruptions. The last 'big one' was in the 2nd millennium BC on Thera (now Santorini) which was one of the biggest (if not the biggest) natural earthbound explosion - there were plenty of big waves emanating out from that one that had significant effects across the eastern mediterranean. It's all a game of 'slight' risk though, I suppose - the chances of the next big erruption or quake affecting us in our lifetime is probably slight - but it is not impossible...