Musnad Ahmad 27:1313

'Affan narrated to us, 'Abd al-Wahid ibn Ziyad narrated to us, al-Hajjaj narrated to us, Abu Matar narrated to me, from Salim, from his father, who said: When the Messenger of Allah (peace and blessings of Allah be upon him) heard the thunder and the 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."