His dialogue with Ezra seemed indicative of such, imo...
Thrawn: "Who deserves what is irrelevant. What matters is who...has...power... But that is something the Jedi won't teach you, so I'll take you to someone who will." *brings Ezra before Palpatine*
Couple that with Thrawn's preceding dialogue about the Jedi and the Force, along with the portion of the Jedi Temple Palpatine had moved to Lothal(which Thrawn was obviously aware of), and there's really no way that he didn't know about Sheev's alter ego as a Sith Master.
...Which further suggests that Thrawn has deduced Vader's identity as well, but I suspect that will be one of the central themes in the upcoming novel.