They had myths and superstitious beliefs about everything but I have never heard any about static electricity. They wore fur and had hats so they must have noticed it. Like when your hair floats towards a hat you just took off because its all static ridden. What did they think was happening? Spirits? the gods?
Even doing stuff like petting cats or horses the shocks you get (especially in dry environments) are very noticeable. They even glow when its dark and crackle. Its just I have never heard anything about it from any culture and it's strange right?
There are some great answers to this from previous similar questions.
This answer by /u/hillsonghoods
A shorter answer, with an older example by /u/sn34kypete