You could try Rescue Remedy (NOT the candies which contain xylitol) or DAP diffusers. I guess for cats they would be CAP diffusers, apparently they exist but sorry, don't know where. DAP comes in collars for dogs, not sure if they do for cats.
My cats like to sit right in the window and watch the lightning. Since we humans are told to avoid windows in lightning I think I'd prefer they run for cover and hide somewhere safer.