Musannaf Ibn Abi Shayba 21:90

Waki' narrated to us, Ja'far ibn Burqan narrated to us, he said: It reached us that the Messenger of Allah, may Allah bless him and grant him peace, used to say when he heard intense thunder: "O Allah, do not destroy us with Your punishment, and do not kill us with Your wrath, and grant us well-being before that."