A web proxy like FiddlerCore doesn't have any means of knowing which thread in a given process was responsible for a HTTP(S) request (assuming that the process is even using a single thread per request to being with). The only way to accomplish what you describe would be to have your test pass the desired information to the proxy, for instance via a custom request header (X-THREAD-ID: 123) that FiddlerCore could delete before forwarding the request to the target.
Do you want to have your say when we set our development plans?
Do you want to know when a feature you care about is added or when a bug fixed?
Telerik Feedback Portal
and vote to affect the priority of the items