Hello Flexgirl,
Welcome to the Apple Support Communities. We understand there is a lost thread in Messages and will explain some options.
If this thread was deleted and you use Messages with iCloud, that thread will be removed from all devices and iCloud: Keep all your messages in iCloud
If you didn't use iCloud, you might be able to restore a backup. Just remember that restoring a backup will restore the iPhone to the state it was in when the backup was created. Some newer information might be lost: Restore your iPhone, iPad, or iPod touch from a backup
Have a great day.