Well, ya see, when it's snowing, it's too cold for rain, and rain comes with thunderstorms, however................ rarely there have been thunderstorms with snow. I have encountered it. It is a true phenomenon.
There are snow thunderstorms (the weathermen call it "thundersnow"), but it's rare. Actually, all rain starts out as snow and melts on the way down. It's COLD up there where the clouds are. I don't know why lightning (which causes thunder) is rarer in snow storms, though.