The Hephaestus room is located in the "St. Francis Folly" section of Greece. I would recommend saving your game when you get to the room. If you get hit by lightning, reload you save file and try again.
Alternatively, you can also keep getting hit by the lightning until you die. When the game reloads itself you will be just before the part of the floor that gets struck by lightning. Just make another attempt to avoid the lightning. Dying from the lightning does not have an effect on the achievement. Using this method I got the achievement after intentionally dying at least 3 times. This technique is helpful when using the "Replay Level" feature since during the replay you cannot create save files.
The achievement will pop once you exit the Hephaestus room back into the large main room. To be clear this means you have step on the switches to open the gate, get the key and then return back to the main room without getting struck.
For anyone having trouble with the room, here is a video walkthrough for it. This is not my video and all credit goes to TRATutorial.