Usually you don't measure the thickness directly.  You locate coupons adjacent to the work so thay get coated at the same time with the  same technique and general method as the production pieces are.  Then you measure the increase in the coupons' thicknesses with a micrometer.
The drawback is that coupons must be made at the time and location of application to be valid.

Another option is a destructve test.  You cut into the coating and measure it.  Various guages will measure the cut depth.

Thermal spray is very porous so UT guaging doesn't work well.
Type II non-ferrous coating thickness gauges won't work because the thermal spray coating it conductive.
There may be something else that will work but I don't know of any at the moment.