Firstly, Thale is apparently one of the members of the Imperial family mentioned in Chambers' The Repairer of Reputations: Mr. Wilde "...led Vance along the ramifications of the Imperial family, to Uoht and Thale, from Naotalba and Phantom of Truth, to Aldones...".
In the texts of James Blish and Lin Carter, Thale is the son of the queen Cassilda, as in The King In Yellow by Thom Ryng. It is normally considered that he and his brother Uoht are rivals in love for the hand of their sister Camilla.
In other sources the name is attributed to a king who wore The Yellow Sign upon his cloak. It seems likely that one takes their name from the other. Thale is also the name of a character in The Streets Of Alar, in this case a Princess!
The Encyclopedia Cthulhiana says...Edit
Under his own name, the Encyclopedia Cthulhiana states two alternatives. He may simply be a "character in the play 'The King in Yellow'." However, he is also "according to Hali, the second king to blazon the Yellow Sign upon his cloak." Judging by other sources (such as the entry for Uoht) this should read "the second king of Carcosa".
Under the entry for the play, two alternatives are suggested. Either he is simply one of several claimants to the throne of Yhtill or he is one of two sons of the ruling queen of the city of Hastur, which has been at war with its neighbor Alar for countless years.