You can only do so in The Lost Chapters and you have to take the quest to expose Lady Grey as evil.
During the quest Mayor's Invitation you must fight Thunder, but you don't get to kill him. In TLC there is the morally-opposite quest to this one, Investigating the Mayor, in which fighting Thunder is again an option. You only get to kill him if you take the evil side of the Souls of Heroes TLC quest Arena Soul/Killing Thunder where you must collect the soul of an arena champion. During the Mayor quests, Thunder will be at Bowerstone Jail, and then at Headsman's Hill. During the Souls of Heroes, he will be outside Knothole Glade.