Why don't you try one of those thunderstorm CDs and play it on real low on a good stereo. Treat her when it's so low that she's not bothered, no more than 15 min. perhaps twice a day. When she's very confident try bumping up the volume a tad then treats and fun games. If she's anxious, go back to original volume. Try to reach the goal of loud over many weeks. If you're frustrated with little progress, try the thundershirt and/or phermones.
I know she developed the fear from the pirate cannons which was sad to watch. She remembers and her fear will get engrained or worse as she gets older if you don't at least try to desensitize her now. I think you mentioned she transferred her fear to thunder. I'd work on that, because those cannons were so loud you could feel the boom in your chest. None of the dogs liked that noise.
Chumley developed a fear of skateboarders and kids on skooters when we walked around the Windjammer building and we almost got run over. We never heard them until it was too late. I didn't know he was traumatized by it until the next spring when kids were out on their boards. He got aggressive and tried lungeing at the kids as they skated by. It took several encounters to make me realize he couldn't help himself. We visited skate parks to desensitize him. It didn't work. I won't tell you what finally did work, but stop it did. I just couldn't allow a dog to go after children. In any case, it wouldn't help in Millie's case.
Cheeto has a mild fear of thunder and fireworks. I've learned over the years to ignore him. If I pet and coddle him, he shakes worse. He seems to find comfort in going into the shower or shoe closet. The thundershirt seems to help him too. Well good luck, because it's awful watching them in such fear.