Jersey is afraid of many things, but thankfully thunder is not one of them. Which is fortunate, because here in Florida, thunderstorms are very common, especially this time of year.
I like Tucker's Dads idea of treats to make the experience a positive one. I just worry that if Gino's anxiety is that high, that you'd be reinforcing a behavior you don't want him to continue. There are a lot of natural anti-anxiety medications you can buy at the pet store. I would also contact your vet and see what he suggests. If Ginos's anxiety is severe, there are anti-anxiety medications the vet can prescribe for him to help him during those times.