Gunfire too? Yikes, you must be in the countryside! I don’t have cats so can’t speak for how they act but I have some of my own ideas about this. I think a puppy is like a very young child and reacts to how others react.
When we used to have thunderstorms my Yorkie would jump up and I’d say, “It’s OK” and he would lie back down. Perhaps something frightened your German Shepard when it was young??
My shepherd is also afraid of thunder/loud noises. As far as I know, he was not frightened when young (and I've had him since 8 weeks). Rescue Remedy helps some but the safety of his crate (covered when the lightning is bad) is the best place for him. He's better than AccuWeather in letting me know that a storm will be upon us soon. Have you ever had a full grown shepherd on your lap?
No. Talking about inner city fools firing guns into the air.
Happens a lot during “festivals” around here.