I swear I’ve come across an indie game that had great thunderstorms, but I can’t remember what it was for the life of me.
That said, imo The Sims as a series has had good thunderstorms. Being outside can result in your Sim being hit by lightning, and iirc there are things that’ll increase the chance of getting hit, like being wet, being in a pool, holding an umbrella, etc. I’m not sure which game has the best thunderstorms though.
VRchat has some worlds with really good ambience, and typically they include rain and/or thunderstorms to some extent. You don’t actually need VR, you can play VRC on a normal monitor.
I’ve just realized that one of the things that Risk of Rain 2 is missing, is a persistent thunderstorm that gets stronger as the difficulty gets higher, lowering your visibility over time.