Surprisingly, dogs who are afraid of thunder are not necessarily afraid of the sound of shooting.
We had a Black Lab and he could be around gunshots all day every day. But he was a little bit afraid of thunder (thankfully not too bad).
Our first golden, serious thunderstorm anxiety (afraid of fireworks too). She was afraid of guns when my husband started taking her out too (we had no clue how to train a gun dog, got her as a rescue from someone who was taking her to the pound —she was 18 months old completely untrained). My husband just kept taking her out with him when he went bird hunting. She did like the birds and would retrieve them at the house when he would throw them. One day she happened to see a bird fall when the gun went off and something clicked. Of course it was just dumb luck, but she became the very best hunting companion he ever had.
She actually had a pretty good pedigree if you went back 2 generations (she was from a backyard breeding, someone’s pet bred to their neighbor’s golden I think). But she was my introduction to the breed. She got a CD with 6 weeks of training in 4 tries (and no obediences classes, a friend worked with me) and got me hooked. But lots of health issues.
My Most Beloved GS seemed to be gunshy from the outset. However, she was not afraid of thunder as a puppy. Until her 1st July 4th, when she associated gunfire sounds in the sky with thunder. From then on, she was also thunder-shy.