Some nebulas are actually thousands of times more dense than our atmosphere. Let´s remember that some nebulas are
star maternities, and the density needs to be high to create such a new star. I would venture in going further and saying thunder does occur, as such density and heat is bound to create eletromagnetic storms, thus creating thunder and lightning.
Also, a nebula is composed mostly of gaseous mater, thus creating "micro" atmospheres within itself. The only thing preventing that gas from spreading across open space is its own gravitational pull, or that of space bodies within it, like a star. But as long as the nebula exists, there would be what we call an atmosphere.
When people say there is no sound in space, they are mostly refering to the open space, where virtually no matter exists. The black part of space, so to speak. Obviously, nebulas are composed of matter, and all matter reverberates sound waves. Some more, some less. But they all all passible of carrying across sound waves.
Given the right circumstances, you can ever hear an echo. Echos are created by diferences in air (air is gas) pressure, caused by diferences of altitude, temperature, and wind speed. All of that is possible of occurring within a (certyain type of) nebula.
