Yes!!
I have a totally irrational, unexplained fear of tornadoes. I have recurring nightmares about them. I have been very close to serious damage caused by tornadoes, and I've seen a few funnel clouds too up close and personal for my taste. Because tornadoes tend to go hand in hand with thunderstorms and hurricanes, I don't like them, either. So far, I haven't found a way to cope.
I've thought about getting a weighted blanket, since those seem to help calm dogs when they are anxious, but I'm not usually in a place or situation where I could just whip out my blanket when dark clouds are approaching, so I haven't tried that.