The question is in the title, I understand what Bat Ponies are, but I don't know what in the world a Thestral is.

A bat winged horse form Harry Potter

the fandom picked it up as a alternate name for Bat ponies

6584381
Yeah what ^ said

Thestrals or Negasi are mythological equines that were said to only been seen by those who've seen death. They have a sort of mummified look with large bat or dragon wings.
Tho in mlp its considered another name for Bat ponies and in many opinion, the proper name.

The script for "Luna Eclipsed" called Luna's guards thestrals, but that has been the only demi-canon usage. Larson almost certainly got it from Harry Potter, there are other HP references in his script.

But alicorn comes from Piers Anthony and Xanth, so it's hardly the first hinky name imported into pony. Before Xanth, alicorn was the name of the material in a unicorn's horn, the stuff sold as such by frauds. People claim to have seen thestral before Rowling, but I haven't seen any citations to back that claim up.

Basically the same thing.

It is just another name for bat ponies. Just like we don't call pegasi "bird ponies"

Batponies!

excellent answer Mitch H learned something new myself