Thalassian is a nationality, and since the Void Elves essentially dissolved their loyalty to Quel'Thalas and Silvermoon and embraced Alleria and the Alliance I'd probably say that they're not, no. At least not until such time as Silvermoon rejoins the Alliance and the Void Elves are able to return to their ancestral home. Alleria also wants Silvermoon to rejoin the Alliance, finding their current association with the Horde to be untenable and undesirable due to her own history.
Not really sure about whether or not they're still connected or able to access the Sunwell, but as I said above it seems doubtful. Regardless, the Sunwell is still an important and almost holy aspect of their history and traditions - all High, Blood, and possibly even Void Elves revere the Sunwell somewhat no matter their current state.