There are fireworks at the end of my block twice a year (New Year's Eve, and Fourth of July). I inherited my own Chloe in late October, and when that first December 31st rolled around, she reacted much like your cat, Shay. In fact, she sat me down for a long discussion about the barbaric way in which humans celebrate.
We've had a ton of construction going on over the last several years, and now she doesn't even bat an eye. She's so used to loud noises, and she has figured out that I'm not going to let anything bad happen to her, so she's fine with it.