Be careful not to coddle your dog when she's afraid. I understand the temptation, but you can be inadvertently increasing your dog's anxiety if you're acting like you're upset about it too.
You can probably look into doing some counter-conditioning to loud noises. Sometimes with thunder it's harder, they can sense the different smells, barometric pressure changes etc, but it sounds like it's strictly a noise sensitivity, so you might be able to work on it.
There is nothing wrong with comforting a scared dog during a thunderstorm. There was as study a couple of years ago that showed it actually helped and does not, as previously thought, reinforce fear or increase anxiety.
My girl has become scared of loud noises as she ages. She will usually crawl under my desk and will stay there as long as I'm there. If what you are doing helps her, then keep doing it. I would maybe move her to an inner room that she will have access to when you are not there so she learns to go to that room.