They drop a lot more as your level gets higher, I didn't get my first until level 31, now they happen too often. Like others have said, turn in loads of bounties at one time. Try to get all done in a day and then turn them all in at the same time (eris ones also). I think the vanguard level thing might be a factor as well. I only really do vanguard bounties, and thorn is one of the bounties available in the vanguard mentor missive (or something like that) which will offer you the choice of three exotic bounties: thorn, juju and invective. Usually. So I am not sure if crucible bounties will make a difference to chance in getting it. Caveat: This is all purely speculation and personal experience. At the end of the day it's probably all down to rng.