As explained by Peter Kincaid in The Rule of the Road: The British had some "extra-territorial" control over areas of Thailand due to the 1855 Bowring Treaty, cessions which came to an end in 1909 with another treaty. But the more important reasons are probably that the Thai royal family sent members and senior officials to England to be educated. When the royal family first acquired autos in 1902, they came from England. There was a proposal after WWII to change the Thai rule of the road, but this was opposed because so many cars came from Britain.

I'll add that in recent decades, many Thai vehicles come from (left-driving) Japan. Curiously, neighboring Myanmar switched circa 1970 to drive right—reasons are murky—yet the great majority of Myanmar vehicles, many of which come from India, Thailand, and Japan, are right-hand drive.