Since the request is going to /thermo and not /materials/thermo, you likely still have an old version of the mp-api client. Double-check in your python shell, via
from mp_api.client import __version__
print(__version__)
or, in your bash/zsh/…, via
pip freeze | grep mp-api
The version should be 0.33.1. If not, make sure to upgrade the client in the right python environment via pip install -U mp-api