Protecting against lightning strikes depends on good building maintenance and grounding. Anything that is even remotely connected to mains is susceptible to power spikes unless protected.
Unless you've got really crazy dangerous building mains wiring, while a strike will likely damage or destroy mains connected electronics, unlikely to impact SD-Cards or SSD's all that badly I would think (unless melted!)
Backups will not, of course, be impacted because at least one of them (you do have at least 2 of course) will be off-site in a protected data centre (cloud for those of us doing things on the cheap).
Central processing like your Pi and PC should be connected to mains via at least surge protection anyway. A PC UPS is even better.
Shielded USB cables are not going to help you in any way against lightning strikes. Nor will shielded ethernet if your mains isn't grounded properly and filtered through an anti-surge protector.
Wi-Fi will be impacted by local interference of course but any decent modern Wi-Fi AP will cope with that and the amount of data being sent by your IoT devices is generally tiny anyway. Since sensors will be sending another reading in a minute, it really doesn't matter if some messages get mangled.
If you really insist on going the Arduino route, you will end up spending much more on cables and routing them through walls than buying some cheap ESP's and USB Power Supplies.