Kaleigh in puppyhood was very skittish and terrified of thunder. She wanted to be held. I had gotten a surgi suit for her spaying, and I put that on her and took her out on the porch so she could see the thunder, and smell the rain. We would sit, rocking in a rocking chair, while I held her close and talked to her softly. Kaleigh isn't a big barker, but I think it hurt her ears because she did bark at it. She eventually stopped shaking when thunderstorms rolled through after doing this throughout her puppyhood. Thunderstorms aren't as severe here as they were in CO, especially at 9,000 ft in the mts. They don't phase her at all now. If Kaleigh can see where any noise is coming from, she will settle down. She gets riled up and barks when she hears a loud noise but can't actually see what is making it.
Having record snows here. The snowplow comes through a lot, and it shakes, and rattles our house badly. Both the girls would go OFF. But I found out if they could see what it does, and know what is making all that noise. They have grown less frightened of it. Now they run to look, and they will sit in the window and watch intently.
I think the surgi-suit was comforting for her. It isn't a thunder shirt, but it was snuggly, and has the compression feature. I had a friend that used thundershirts on her Labs that went bonkers in t-storms with great results. Worth a try-what have you got to lose?