Honestly, facts are that those are honest fears. Healthy ones, even.
1. Even indoor cats still have enough instinct left to know to be worried during thunderstorms.
2. And it's a GOOD idea for cats to be afraid of airplanes/cars/other loud noises. There are other reasons, but one of the MAIN reasons that my cat is an indoor-except-while-leashed cat is that he isn't very frightened of cars. He doesn't run away when a car passes. This would put him in danger of being hit and I make certain he never goes outside alone for that reason.
3. Although many cats love to play with plastic bags, all it takes is one frightening experience of getting stuck in one to turn them off. And it's perfectly reasonable and rational for any creature to fear something that has hurt them before.
4. Again, the yelling is a reasonable fear. Even humans get nervous when someone raises their voice. We start wondering what happened. "Is it something I did? Are they angry at me? Am I going to be punished? Am I going to be hit or hurt?"
Trying to "accustom" your cat to these noises will likely just make the problem worse. My cat is brazen and imperturbable, but my husband's cat is a flighty, nervous creature like yours. She's sometimes even frightened by sudden movements or the air cutting on as she walks by it. What you might try: homeopathic anxiety remedies. You can find them in any pet store.
Most of them contain only natural oils or essences which are known to be relaxing and have little to no side effects, like chamomile. Some remedies contain concentrated doses of tryptophan, the famous "sleepy" amino acid found in turkey. Since these items are based on natural ingredients with low side effects, they are generally safe to give daily, but you may want to check with your veterinarian before beginning a regimen with your cat.
Don't think of it as drugging up your cat. Humans have been doing things like drinking chamomile tea and comfort foods for centuries to help us mellow out. Your cat won't be stoned and shouldn't sleep more than is normal for him. It will just help smooth out the peaks of his anxiety into something a little more manageable.
Just make sure you get something easy to administer. Paste/gels or liquids work best. With a paste or gel, just quickly swipe it onto his lips before he has a chance to react. Cats instinctively MUST lick it off, and the job is done. If your cat, like my husband's, is too flighty even for that, get a liquid and lace your cat's water or food with it.
My cat is brazen and imperturbable, but my husband's cat is a flighty, nervous creature. She's sometimes even frightened by sudden movements or the a/c cutting on as she walks by it.