J.M.
My 4 year old freaks about storms too. She thinks anytime there is a storm the power will go out. I agree with the post below. Grandma and grandpa probably didn't DO/SAY anything to make him scared, perhaps they went into the basement (this is a good thing) but the storm would have scared him. It is very common at this age and he is at an age where he will pick up on things, including the way people are acting. Just be supportive and let him know that when you need to go in the basement you will and that mom and dad will keep him safe.
Good luck.