The combination of the flash of bright light, the loud sound and the compression of the air as the 'deep base' tone moves though the air and as it shakes every structure including one's body can be unnerving to some.
As with Humans, some Parrots (a percentage of the population) react openly to thunder and lighting. Where and like near every one responses to a large and particularly close strike. As with Adults and Children, individuals who are frightened by this should be comforted and provide an area of safety to go to during storms. Therefore, you being aware of an incoming storm is very important.
Fireworks are commonly a known event and you should move your effected family members to a safe place in advance of the event is recommended.
If your Parrot is particularly effected by either or both, please assure that you are having an open and on-going discussion with your Avian Vet. This will commonly result in your Vet checking for a heighten sensitivity to Sound. If your family member is seriously effect by these occurrences, your Vet 'may' recommend a medication.