This can work with some dogs but you must take it REALLY slowly and do it all year round. Once the anxiety level has dropped to a manageable level you can lessen it to once or twice a month.
Get a tape recorder and tape a storm. Then get another tape and fill both sides of it with the storm noises. Play this tape pretty constantly while you are around starting with the volume very very low. Wait until the dog is totally ignoring it and then turn it up a fraction, beware! this is where you win or lose! If you turn it up too much you will ruin all previous work so only a little at a time. This takes time but should lessen your dogs anxiety - we did it with Paddy and he is now totally bomb proof!!