Question: Princess Ozma lives in the fictional City of Thi in which L. Frank Baum book?

Context paragraphs:
Princess Ozma: Princess Ozma is a fictional character from the Land of Oz, created by L. Frank Baum.  She appears in every book of the Oz series except the first, "The Wonderful Wizard of Oz" (1900).

Glinda the Good Witch: Glinda, also known as the Good Witch of the South, is a fictional character created by L. Frank Baum in his "Oz" novels.  She first appears in Baum's classic children's novel, "The Wonderful Wizard of Oz" (1900), and is the most powerful sorceress in the Land of Oz, ruler of the Quadling Country south of the Emerald City, and protector of Princess Ozma.

City of Thi: The City of Thi is a fictional city in the Winkie Country of the Land of Oz, from the Oz Books by L. Frank Baum.  Thi appears in the book "The Lost Princess of Oz".

Pastoria: King Pastoria is a fictional character mentioned in the Oz books by American author L. Frank Baum.  He was the rightful ruler and King of the undiscovered Land of Oz, but was mysteriously removed from his position when the Wizard of Oz unexpectedly came to the country and took the throne, proclaiming himself as the new dominant ruler of Oz.  Shortly after, Pastoria's infant daughter and only child heir, Princess Ozma suddenly vanished, leaving not a single clue of her whereabouts.

Good Witch of the North: The Good Witch of the North, sometimes named Locasta or Tattypoo, is a fictional character in the Land of Oz, created by American author L. Frank Baum.  She is the elderly and mild-mannered Ruler of the Gillikin Country.  Her only significant appearance in Baum's work is in Chapter 2 of "The Wonderful Wizard of Oz" (1900), in which she introduces Dorothy to Oz and sends her to meet the Wizard, after placing a protective kiss on her forehead.  She makes a brief cameo appearance at Princess Ozma's birthday party in "The Road to Oz" (1909), but is otherwise only mentioned elsewhere in the series.

Jellia Jamb: Jellia Jamb is a fictional character from the classic children's series of Oz books by American author L. Frank Baum.  She is first introduced in "The Wonderful Wizard of Oz" (1900), as the head maid who works in the royal palace of the Emerald City which is the imperial capital of the Land of Oz.  In later books, Jellia eventually becomes Princess Ozma's favorite servant out of the Emerald City's staff administration.  She is also the protagonist of Ruth Plumly Thompson's novel "Ozoplaning with the Wizard of Oz".

Land of Ev: The Land of Ev is a fictional country in the Oz books of L. Frank Baum and his successors.  Its exact location is unclear between text and maps. " The Road to Oz" states that Ev is to the north of the Land of Oz, and in "Ozma of Oz", Princess Ozma of Oz and her procession enter the Munchkin Country and meet the King of the Munchkins upon leaving the palace at Evna, the capital city.  Subsequent books place Ev nearer to the Winkie Country, and the map on the endpapers of "Tik-Tok of Oz" shows the Munchkin Country as having no northern border with the desert that surrounds Oz, as a thin strip of the Gillikin Country extends even farther east than most of the Munchkin Country.  This map depicts Ev as a small country to the northwest (the compass rose is reversed) of Oz, with the Dominions of the Nome King as a separate area.  James E. Haff and Dick Martin's map, following the text, place the Nome Kingdom under an Ev that takes up the entire portion allotted to the Nome King's dominions on Baum's map.

List of Oz books: The Oz books form a book series that begins with "The Wonderful Wizard of Oz" (1900) and relate the fictional history of the Land of Oz.  Oz was created by author L. Frank Baum, who went on to write fourteen full-length Oz books.  All of the Baum written books are in the public domain in the United States.  Even while he was alive, Baum was styled as "the Royal Historian of Oz" to emphasize the concept that Oz is an actual place.  The illusion created was that characters such as Dorothy and Princess Ozma related their adventures in Oz to Baum themselves, by means of wireless telegraph.

The Lost Princess of Oz: The Lost Princess of Oz is the eleventh canonical Oz book written by L. Frank Baum.  Published on June 5, 1917, it begins with the disappearance of Princess Ozma, the ruler of Oz and covers Dorothy and the Wizard's efforts to find her.  The introduction to the book states that its inspiration was a letter a little girl had written to Baum: "I suppose if Ozma ever got hurt or losted, everybody would be sorry."

Project Ozma: Project Ozma was a pioneering SETI experiment started in 1960 by Cornell University astronomer Frank Drake, at the National Radio Astronomy Observatory at Green Bank, West Virginia.  The object of the experiment was to search for signs of life in distant planetary systems through interstellar radio waves.  The program was named after Princess Ozma, ruler of the fictional land of Oz, inspired by L. Frank Baum's supposed communication with Oz by radio to learn of the events in the books taking place after "The Emerald City of Oz".  The search was publicized in articles in the popular media of the time, such as "Time" magazine.

Supporting paragraphs: City of Thi The Lost Princess of Oz
Answer: "The Lost Princess of Oz"