Musannaf Ibn Abi Shayba 21:97

Qutaybah ibn Sa'id narrated to us, 'Abd al-Wahid ibn Ziyad narrated to us, from Hajjaj ibn Artah, from Abu Matar, that he heard Salim ibn 'Abd Allah narrating from his father, who said: When the Messenger of Allah (may Allah bless him and grant him peace) heard thunder and lightning bolts, he would say: "O Allah, do not kill us with Your anger, and do not destroy us with Your punishment, and grant us well-being before that."