early 14c., "to pierce, penetrate," metathesis of Old English þyrlian "to perforate, pierce," from þyrel "hole" (in Middle English, also "nostril"), from þurh "through" (compare Middle High German dürchel "pierced, perforated;" from PIE root *tere- (2) "cross over, pass through, overcome") + -el. Meaning "give a shivering, exciting feeling" is first recorded 1590s, via metaphoric notion of "pierce with emotion." Related: Thrilled; thrilling.
<a href="https://www.etymonline.com/word/thriller">Etymology of thriller by etymonline</a>
Harper, D. (n.d.). Etymology of thriller. Online Etymology Dictionary. Retrieved $(datetime), from https://www.etymonline.com/word/thriller