Evaluating the following
(threads:make-thread #'(lambda () (error "foof")) :name "foof")
will get you into the debugger. But there's not restart available.
As it does not make sense to provide a RETURN-TO-TOPLEVEL restart for an error occuring in a thread, I think there should be a TERMINATE-THREAD restart instead.
And the debugger should probably print the thread's name the error occured in.
-T.