Nanook had that phobia since I got him. Keep in mind this was 14.5 years ago and I was young. But I actually disciplinded him for acting up. I'd lock him in the basement. He got over the storms in one season.
I feel bad for doing that but hey it worked like a charm. So I've been passing it on & I'll be damned if it hasn't worked or at least helped every one else who has tried it.

He still gets scared during fireworks & gunshots but not as much as he used to. He must be able to tell the difference.