A lot of anatomic names seem to reflect a fairly straightforward approach: the foramen magnum in the skull is just that, a "big hole"; the tough, fibrous coating of the brain, the dura mater, is the "tough mother"; the bone that looks like a plow is named just that, vomer. I suspect the thalamus gets its name from the fact that various sensations are joined there, but that is pure conjecture on my part. It might have been assigned that name long before the neural connections were understood.