Paging /u/brution might know more.

As far as I know, there were several reasons why Thälmann stayed alive for so long:

After his imprisonment in 1933, the Nazis were planning a high treason trial against Thälmann. They brutally interrogated him many times over in order to get him to declare that the KPD had been planning a coup d'etat in 1933 and to name his co-conspirators.

In 1935 several people within the Nazi justice system seemed to realize that such a trial might not be a good idea after all. First of all, Thälmann appears to not have been very talkative, secondly the evidence was thin and a disaster like the Reichstag fire trial should be avoided, thirdly, this was around the time, the Nazi leadership started worrying about their foreign image and the foreign press (around this time, there also were very little prisoners in the camps). When they gave up these plans, they transferred Thälmann to the Gestapo as a prisoner in protective custody.

Held in a prison in Hamburg, Thälmann was kept alive in the following years apparently because of considerations towards foreign nations. First with the Olympics in 1936 and then with the warming relations with the Soviet Union, it seems that killing him would be a bad move for the Nazi leadership.

While it is unclear what kept Thälmann alive after 1941, the most common theory is that he survived because he was in a regular prison rather than a Consentration Camp. It was only in 1944 when he was transferred from Bautzen to Buchenwald that the Nazis killed him.

Sources:

• Bert Hoppe: In Stalins Gefolgschaft. Moskau und die KPD 1928–1933. R. Oldenbourg Verlag, München 2007.

• Heinrich Hannover: Ein Naziverbrecher vor Gericht. Der ungesühnte Mord an Ernst Thälmann. In: ders.: Reden vor Gericht. Papyrossa Verlag Köln 2010.

• Peter Monteath (Hrsg.): Ernst Thälmann. Mensch und Mythos. Rodopi, Amsterdam (Atlanta) 2000.