When you delete a message thread on iPhone, the following happens:
1. The message thread is removed from the Messaging app and can no longer be accessed from there.
2. The message thread is moved to the "Recently Deleted" folder, where it will stay for 30 days before being permanently deleted.
3. If you want to permanently delete the message thread before the 30-day period is up, you can manually delete it from the "Recently Deleted" folder.
4. Once the message thread is permanently deleted, it cannot be recovered.
5. If the message thread is part of an iCloud backup, deleting it from your iPhone will also delete it from the iCloud backup.
It's worth noting that deleting a message thread does not necessarily mean that the messages within it are completely gone. If the message thread was part of a larger conversation, the messages may still be accessible through that conversation thread. Additionally, if the person you were messaging with had saved the messages, they may still have access to them even if you have deleted the thread.