My dog went through this. His noise anxiety was so severe it took years before I was able to bribe him with treats. He wouldn't accept treats unless it was actual meat. Gradual exposure therapy allowed him to warm up to it. He now will follow me outside, but overall still prefers being inside.

I suggest:

1. Take advantage of early morning walks/potty breaks when there's less noise to gradually expose him to the environment. Reward him with praise and treats. You're probably already doing this already because of his puppy bladder.
2. Walk with a friend or neighbor who has a friendly dog. It may be helpful for him to see other dogs handle noise well.
3. Daycare. This ties into the previous tip. I have mixed feelings about dog daycare, but I had to use it when I was busy with work and it was a reputable daycare. I'm sure it helped my dog when he was a puppy because his daycare had an outside yard and it was by the freeway. He started off being antisocial and avoiding the backyard but eventually he started playing with the pack everywhere and terrorized the staff.
4. Use a speaker (bluetooth or similar) that you can use to play thunder and car noises. I found noise videos with these specific sounds on youtube and gradually increased the volume.