Thunder-snow is a rare event that only occurs when the ground is warmer than the air above it. That does not happen often in areas where it snows.
Two places where it most frequently happens in the United States are in the Rocky Mountains and on the East Coast.
Here is a video of how thunder-snow looks and sounds.
It is dangerous to be out in a thundersnow storm. One could be struck by lightning in a thundersnow storm just as one could be struck by lightning in a regular thunderstorm.