I, too, have heard not to "coddle" them when they're anxious. Although I understand the thinking behind it (that "coddling" gives the dog the idea that there is something to be anxious about), I don't know that I buy into not giving comfort in this situation.
Giving comfort is a big part of a mom's job. Yes, I know they're dogs. Yes, I know they're different than humans. But when a creature, any creature, is trembling with anxiety, I can't help but try to calm them with gentle touches and soothing noises. I can't just ignore their discomfort. I see it more as reassurance than coddling.
However, I've never had a dog that was anxious about thunderstorms, so I've never had to comfort anyone except my human son during them–here in Minnesota, we get plenty. He eventually grew out of the fear. I, myself, love thunderstorms.
I don't know (and haven't looked, as yet) about any studies about this and wonder how the "no coddling during thunderstorms" rule came about. Anyone have any ideas?
JMHO, of course.