I live in Florida lightning capital of the world   it is the tension in the
air that they can feel.  My older cat Phantom 12 years   knows when a storm
is coming when the skies start looking bad to us you can find him curled
around my feet  and when the thunder starts he is wrapped around my feet
shaking and jumps at every little sound.  If I move he is with me.

Mine don't seem to care much about thunder. They mostly just sleep
through storms.

OTOH, the vacuum cleaner terrifies 4 of them. I just take out the vacuum
and tell them the vacuum monster's coming and they take off and run into
the basement. The 5th just climbs up on the cat tree and supervises.

Thunder is common here.  Most of my cats that are inside seem not too
much affected, except that they are startled by a nearby strike.  I
have no idea what the ones that are outside do, but when the thunder
lets up and the storm is reduced to just rain, several of those inside
go out in the rain so they can come back in and smear mud on me, my
clothes, and the furniture; and some of those that were already
outside also come in wet and muddy for the same purpose.  Fluffy
*never* does that, and I thought Spooky never did too until this
afternoon when I lay down for a nap and discovered that he was wet (he
lives on my bed).  I though I just heard thunder, but there is no sign
of high energy storms in the area - it might have been a cattle
trailer going by ... on second thought, the rain just got heard enough
to hear on the (metal) roof and the wind picked up quite a bit.

My dog at my parent's home is also scared of thunder. She's a terrier,
so she's smaller than most cats. What's funny is that she hears thunder
before anyone. She's hidden under somebody's legs and then 20 minutes
later we'll hear it. Kind of neat.