That might be some configuration the i3wm Endeavour maintainer did. I installed thunar again and tried it myself, and it also does open in xfce4-terminal, even though my default terminal emulator is set to st.
When I try it in pcmanfm, the gui file manager I use, it just works and opens neovim inside st.
Maybe Joe Kamprad could help you on that?
If you need to get it to work quickly, I would advise you to use another file manager, either through a GUI or a CLI (pcmanfm and ranger/vifm/lf are some choices).