Not all cats are afraid of thunderstorms. I had a cat in Italy for many years. She lived in my apartment in the city; never went out at all. But for a few years, a friend and I used to go up to a place on the Lago Maggiore for a few weeks in the summer. It was a (very) small house with a nice view.
There, Andrea the cat was allowed to go outside, but she never strayed far. In front of the house, there was a terrace with a retractable awning. At the side, there was a smaller terrace, with a clear plastic roof, under which grape vines grew on beams.
Whenever there was a storm, instead of getting in my bed and crawling under the covers, she'd go out the the small terrace and climb up so she could sit on the beams under the roof.
Go figure.