Proto-Indo-European *(s)teg- "to cover" became Sanskrit स्थगति sthagati "to conceal", then स्थग sthaga "cunning, sly, fraudulent, dishonest". This perhaps became Hindi ठग ṭhag, one of a band of professional assassins and thieves. This was borrowed into English as thug.
I don't know why PIE /*t/ became Sanskrit /tʰ/, or why Sanskrit dental /tʰ/ became Hindi retroflex /ʈʰ/.
This Hindi letter chart has ठग for the letter ठ, and a big mean looking guy to illustrate the word (from here). I can't find a higher rez image, so you'll have to trust me.
Here's the same word on a Gujarati letter chart: ઠગ (from here).
*(s)teg- became Greek στέγω stegō "to cover", and stegosaurus, which was covered in distinctive plates.