Hello,
I think what you'll probably want to do is to ThinApp .NET Framework 3.5 itself and use that. Here is a blog regarding doing just that: Step by Step Instructions on How to ThinApp Microsoft .NET Framework | VMware ThinApp Blog - VMware Blogs
Alternatively, you might want to ThinApp the application itself along with .NET Framework 3.5 in the same package. This way the ThinApp comes with what it needs to run.
~Brandit