I get the impression (allowing of course for the fact I'm a lay person and not a psychologist) that logically, given you CAN handle the cinema and concerts but not thunderstorms, this would suggest that rather than being a sensitive hearing issue, you perhaps experience something similar to me, which is what I would call "situation-specific" anxiety/panic. Does the sound of a clap of thunder remind you of something unpleasant or traumatic you once experienced? Obviously the resolution of these issues would require more than just identifying their source, and perhaps you need to leverage the assistance of a mental health specialist. However even if you do, it's still worth a bit of inward searching and contemplating what might be the deep underlying belief or memory. That is just my opinion anyway.