This phenomenon is actually very common, and affects dogs of both sexes and all breeds, including mixed-breed dogs.
Some dogs show fear of thunder, yet have no reaction to other types of loud noises such as guns.
Because of that observation, there is some speculation that the dog is reacting partially to the atmospheric pressure changes during a storm, as well as to the noise itself. It has been observed that dogs which display no fear of storms as puppies may develop this fear later in life, although the reason or reasons why this happens remain unclear. No scientific research has yet been done to substantiate this, however. There are many different ways to help your dog cope with this fear. Some of them are listed here, and you should review them all, and choose the method best suited to your dog based on his temperament, environment, and the degree of fear he displays.