It's a good thing to let your dog/dogs hide where they want if they don't like storms or sounds. I think it might help them grow out of it but for as long as they want to hide, we will let them.
My current dog is a bird dog so hears lots of noise with zero problem. Thunder is another matter and for her must have some primal vibration or rumble that worries her. She knows when I let her hide or stay close to me during a bad storm.
The other night, we went in the basements for a storm and she was glad to come along but dragged her bed with her. Pretty cute.