Cooper is an emotional dog and has a couple of fears that revolve round loud noises. The thunder terrifies him

He finds a corner in any room of the house and just sits up against a wall or door and shakes. He doesn't really want to be held by me. I try to occupy him with a bone, treat or his ball but he really wants nothing to do with anything. He doesn't have a crate or kennel that he likes to go to. Once the thunder is done, he's back to normal.
Does anyone have any advice on how I can comfort him or what I should do?
It just started raining.