They can definitely sense weather, even species that are kept indoors. Our treefrog exhibit is deep inside our main exhibit building, but the treefrogs can sense pressure changes associated with storms and will often become more active and vocal. Even though our reptile room remains the same temperature year round, our snakes know what season it is and adjust their feeding strategies accordingly.

But they don't really do anything to protect themselves from the storm. The ones that live outdoors are given access to their dens on days with inclement weather so there's no need for them to prepare anything. If it starts raining, all they have to do is go inside and it is nice and warm.