Athena hit the jackpot with you! Congratulations! She is so, so cute! And she sounds ilke she's settling in with your family.
My rescue b-mix just started to be scared during storms, he's been with us for 4 years. Just sits near us or under my desk while I'm working and shivers. Read online on an animal behavior site (unfortunately I don't recall the site) that you need to let them find their safe spot, it may not be a crate or somewhere that they usually might be very comfortable in.
You can try to behavior train them out of the fear by getting them acclimated by softly playing some thunder noise and slowly raise the volume, but it the dog starts reacting, lower the volume and start over--it seems like it takes a great deal of time to get them acclimated, but it sounded worth it.