I ran into a smiliar problem, banged my head against the wall and finally discovered a solution, so I figured I'd share.
Like many of you, my Thunderbolt audio output worked fine for a while then mysteriously stopped working one day. Upgrading to Mountain Lion wasn't the cause but also didn't help. Incidentally, the problem also manifested on my Bootcamp install.
No audio output via Thunderbolt / mini Display Port when connecting Macbook Pro to an HDMI-based AV system. No additional output target is available under System Preferences > Sound > Output.
Configure the AV system to disable HDMI control, HDMI pass-thru and HDMI audio return channel (ARC). Details below.
Macbook Pro (Mid-2012) with up-to-date Mountain Lion
moshi MiniDisplay Port to HDMI Adapter with Audio
AmazonBasics High Speed HDMI cable (3 feet)
Sony HT-SS380 AV system
Panasonic PT-AE900U projector
The projector does not support HDMI audio (it's a projector) and the AV system passed this fact through to the Macbook pro. Thus the Mac reflected the fact that no additional audio output target was available
On a hunch, I disconnected the projector from the AV system then reconnected the Macbook to the AV system. The additional audio output target was then available (SONY AVAMP) although the video obviously no longer worked.
On the HT-SS380 set "CTRL HDMI" to "OFF". This in turn turns off HDMI pass-through and HDMI audio return channel.
I suspect that this may represent a more general solution that can be applied in similar situations. If you're using an audio output device (projector, TV) that doesn't support HDMI audio, that fact may be forwarded to your Macbook, through your AV system. That in turn will disable the ability to output audio over Thunderbolt / mini Display Port.