My son's 8 yr old dog is terrified of thunder/lightning. He has tried ignoring him, petting him, putting shirts on him, and "drugs". Albeit to no avail. This has gone on since he was a puppy. During one storm episode, the dog hid in the bathroom behind the toilet. That's where he always goes now but never calms down or stops shivering/trembling. Sometimes he just wears himself out and gets quiet because he get tired. The bathroom is not even near where my son's great room is and everyone stays. My son just leaves him be... His other dog couldn't care less about storms and he doesn't have a calming effect on the other one.
My daughter has a Lab who is 12 and she has had her since she was a puppy. The dog is also terrified of storms who seeks safety in a bedroom bathroom shower that they never use. They have made her a big bed in there (with the shower curtain almost closed) and she goes in there and stays til she's ready to come out. She shivers and shakes all over usually during the entire storm. They, too, have tried all the remedies. The shower is totally away from where they are in their great room so there is not petting, trying to comfort going on. The dog is just plain terrified. She has long hair... My son's dog has short hair. My son and daughter live in different states so don't see each other.
I think phobias are phobias not matter who/what has them. I stay away from snakes. Don't even look at pictures, tv, etc., of them, so does that calm my fear when I see one? I screamed and ran when I saw one in the barn recently. To me, the best thing to allay my fear of snakes is not be near one physically, in pictures, or even in zoos. I think it is the same way with animals; they just can't get away from thunder, especially when it is rolling and shaking the house and until it goes away, they live in fear... inmho