Examples:
* Not capitalized: We drove on the thruway to get to the city.
* Capitalized: The New York State Thruway is a major highway.
The reason for this is that "thruway" is a common noun, while "New York State Thruway" is a specific name (proper noun).
Here's a simple rule of thumb:
* If the word "thruway" is used in a general sense, it is not capitalized.
* If the word "thruway" is part of a specific name, it is capitalized.