Aah, the poor dog. The pet dog of my childhood, a wonderful beagle-hound mix, was gun-shy, as well as explosion- and thunder-shy.
Poor baby, she would shake like the proverbial leaf during a thunderstorm. And she had to be touching her fellow humans at that point, until the bad noises went away. Walk from one room to the next, and she was UNDER your feet, between your legs, DON'T LEAVE MEEEE.
We didn't know, in those days, about "thundershirts" -- she was a candidate for such, if ever a dog was. I hope, on her side of the Rainbow Bridge, she is in the company of some fearless wee terriers, the sort who make joyful barking noises when it thunders -- OOOH, let me out so I can chase the thunder and catch it!