ESD protection during lightning storms
Any electronics or metal surfaces can be an increased risk during a thunderstorm. A direct hit near your house can induce large currents and voltages in many unexpected locations and injuries are rare but they are possible.
ESD wrist straps are the least of your worries.  All ESD wrist straps have (or should have) a ~1 M resistor in them.  The resistor doesn't have a high enough voltage rating to withstand something like a direct lightning hit, but it will limit current from lower voltage sources such as line voltage or an induced EMF from a nearby lightning strike to a safe value.
On the other hand, most electronics with 3 pin power plugs such as desktop computers, appliances and any test and measurement equipment you have will have exposed metal connected directly to the grounded conductor from the power outlet with no current limiting resistor.  In the unlikely event that your ground becomes dangerous those sources are a much bigger concern than your wrist strap.
Do not do what another poster has suggested and bring in an external ground or using a copper pipe or plumbing fixture as your source of ground unless you also connect it to your wiring ground.  The reason for this is that your wiring ground is already exposed in a lot of places.  If you bring a different ground and they are for some reason at a different potential (such as a nearby lightning strike) now you have a large potential difference and capacity to receive a shock.  At least in the US, copper plumbing and metal  building components such as support beams should already be connected to the wiring ground exactly to prevent these sorts of differences from arising.  Unfortunately this is not terribly reliable.  A common case is that a pipe leaks and a short section is replaced with PVC since it is cheaper and easier to install.  This can create islands of ungrounded pipes.  It is rarely a problem, but you don't want to accidentally rely on such a section to ground your workbench.