People automatically assume chickens are afraid of loud noises since just about everything else frightens them. Let me state this emphatically - loud noises do not phase chickens, whether baby chicks or adults, in the least!
They may be slightly startled if you make a sudden loud noise right next to them, but it won't frighten them to death! And after that first loud clap of thunder, all the rest will be ignored by your chicks as though it wasn't even happening.
It has to do with their instincts as to what represents danger. Things from the sky, any object suddenly appearing in their near vicinity that they don't recognize, strange people or animals, all these scare chickens. But bring a shop vac into the coop, leave it until they get used to its newness, then turn it on. They will not even react, or if they do, it will be almost insignificant. I have a Dirt Devil hand vac that is as loud as anything. I can use it right under a hen's beak, and she won't even flinch.
So relax. A little thunder is nothing to your chicks.