Thalassian is the same as saying "of/from Quel'thalas".
It denotes origin/ancestry/nationality, rather than race.
Thalassian food is food from Quel'thalas.
Thalassian priests are priests from Quel'thalas.
Thalassian languague is the language of Quel'thalas.
And so on.
"Thalassian elf" is not a race, which is why you don't see the therm being used in-game. But it's a valid catch-all term to represent all different races of elves that had their origins in Quel'thalas. It's easier and nicer to use than to type blood/high/void elves every time you want to talk about all of them as a group.