Here's something I did with Sadie Mae. When a storm started, every time it thundered I'd jump up clapping my hands, laughing and dancing around acting very happy and I'd give her several treats. She'd jump up with me and start running around barking - initially because she was afraid, but after a few times of getting treats the barking changed from fear to excitement. Soon she wasn't so afraid of the sounds, and I could just clap my hands, laugh and give her a treat. It worked for her, she wasn't nervous any more. But be forewarned, if the storms come in at 2 in the morning they
will be waking you up looking for the treat.
With Annie, the treat thing didn't work so good because she simply was too nervous to eat them. If it was at night I'd turn on a light and the tv and lay back down and tell her in a very calm, firm voice, "Annie you will be ok. Momma is not going to let anything happen to you. Lay down." I wouldn't pet her or cuddle her, but let her sit on me until it passed. She went from being hysterical when I first got her to just nervous in a few years.