The story
Thursday is the day of the thunder god. The Romans called it Iovis dies, "day of Jupiter" (French jeudi, Spanish jueves), and Germanic speakers matched Jupiter, the sky god with the thunderbolt, with their own thunderer: Thunor, the Old English name of the god the Norse called Thor.
The native Old English name was Þunresdæg — "Thunor's day" — with an N, just like the word thunder, which is the same word as the god's name. But northern and eastern England were settled by Norse speakers in the Viking Age, and their form, Þórsdagr, had no N. The Norse-influenced Þursdæg won out, which is why English says Thursday and not "Thundersday".
The letter Þ (thorn) at the start was the Old English way of writing the TH sound. When printers stopped using it, it was replaced by the two letters th — the same sound, a new spelling.
