At times, dogs can sense a drop in barometric pressure that is often associated with thunderstorms. This in addition to the other unfamiliar noises of thunder, heavy rain, and wind can cause some anxiety in your dog.
It is human nature to want to coddle and make our dogs feel better; however, making them do some obedience and work with you is usually a better option. If she is busy paying attention to you and working on some obedience, the thunder (or anything else that startles her) becomes background noise.