My springer had the same problem.When we first experienced this,
it was late afternoon and somehow got out of the house,I an thinking she jumped out of one of the kids bedroom windows and She bolted to our neibours house and scratched on their front door till they opened the door and let her in. She hid under their dinning room table till the storm passed. We got a call from them at about 6 pm that our dog was safe in their house and feel free to grab her when the weather cleared.But whenever a storm came, she always wanted out of our house, always. I think she associated, the thunder, as our guns going off in the house.She was great in the field, and no problems with guns firing, but she was scared of thunder.Maybe its hereditary among the spainial breeds.She is gone now,it happens to all living things, but her memories will live as long as I do.