I don't know definitively, however in general these sorts of one way hires are impossible in the Highlands.
The best way to find out would be to simply use Google to find car hire companies in Thurso - I think there are two - and then email them to ask if this can be arranged.
The train journey from Thurso to Inverness is stunning, incidentally!
Many thanks for the info.
Also for the recommendation on the train journey