Lightning, multiple times, has struck mobs through a large amount of blocks.
Specifically: I had my cats sat down in an underground room, and was on the surface of that same area. Lightning struck THROUGH the blocks and unsat my cats, which didn't die/catch on fire but did immediately teleport to me. I assume they didn't die due to teleporting first. This has happened multiple times.
It has also, in front of my eyes (unfortunately I wasn't recording), struck two different sets of chickens inside of a 1x1 block space, both of which had at least 1 block above them between them and the sky, killing both sets instantly.
Lightning has also struck multiple of my sheep through a trapdoor (I can only assume this as I didn't see it happen, but there was no other way to kill them, let alone any wolves or mobs around to harm them.)