When you compile something from Windows to Linux ARM you should already have some standard libs(libc.so, libdl.so, etc.), and libpthread one of them, so this is a bit strange. You need to get GNU/Linux(with support of ARM) distributive where you want to execute your application and extract from there libpthread.so.
PS: this situation is very familiar to compilation for Android. Unfortunately FreePascal doesn't support threads for Android at all because of different version of pthreads on Android(there are limited functions of it implemented there, and all functions placed in libc.so instead of libpthread.so). And if you want to use threads on Android you need to use pthreads directly.