Technically the cable modem uses the cable tv cable which is seperate from the phone line. However, if you live in a suburban or rural area, most likely both the phone line and the cable tv line are suspended from poles outside your house. So they stand an equal chance of getting hit.
That aside, getting fried by lightning is pretty rare. Haven't heard many tales of this happening in my time in the IT field.
IMO, unless you're in an area that has frequent lightning storms, I wouldn't worry about it. Just do regular backups of your important data.
Someone with more experience in home electrical systems may be able to enlighten you more.