Musnad Abu Ya'la al-Mawsili 153:93

Na'im ibn Haysam narrated to us, 'Abd al-Wahid ibn Ziyad narrated to us, from al-Hajjaj ibn Artah: Abu Matar narrated to me that he heard Salim ibn 'Abd Allah ibn 'Umar narrating from his father, who said: When the Messenger of Allah (peace and blessings of Allah be upon him) heard the thunder and the thunderbolts, 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."