Hi J.!
My dog has anxiety. She has separation anxiety. She destroys things when we leave her, and when she is left in her crate she would try so hard to get out she would harm herself. My vet put her on Prozac. I can't say that she is a completely changed dog, but she is definitely better. I can leave her out when we leave the house without worrying about her chewing up my furniture.
She used to be so attached to us that she actually jumped into the shower with my husband, but now she'll lay quietly on our bed.
I am not sure if this will help with the firworks/storms sort of anxiety. I know there are some natural calming formulas out there for dogs. Also you could look into Bach Flower remedies as another natural, holistic approach.
Talk to your vet about it. You certainly don't want to tranquilize your dog all the time. Maybe Prozac will help.
I hope your little baby feels better soon.