Our first dog Sparky, was terrified of storms also, he was strictly an outside dog and he would try to get inside. He was once outside (he had access via doggie door to our garage) but tried to rip the metal door off my dad's shed to get in it. Another time he accidently got locked in the shed and chewed the door to get out!!! He crossed the rainbow bridge in 1992 and there are still gouges in the door!!
Shaianne has absolutly no trouble with storms, the first storm we experienced together, I thought oh boy here it goes!! and she just laid there and looked at me!!
A good book on dog behaivor is "The dog who loved too much" It addresses all dog behaivor problems. Very good book.