Does he turn his head when you call him? He may just not be bothered by these sounds. My puppies aren't bothered by thunder. If you're in doubt, take him to your vet for a hearing test.
My dog was not bothered by loud noises, thunder etc when she was a pup, so it could be quite normal. Does he respond to your voice, squeaky toy, sound of food in his bowl etc?
We took Pongo to athletics meet, the starting pistol went off right by his ear and he didn't even twitch. But he can hear the word "dinner" whispered at thirty paces.
