In general the accepted wisdom is that any PCIe card needs to have 'Thunderbolt aware' drivers to function properly via a Thunderbolt to PCIe expansion chassis. I am not 100% clear as to why it could be simply to enable 'plug and play' capability which in many cases will not really be an issue. (Just don't unplug it. 😉)
As other posts indicate no video drivers for the Mac have been made 'Thunderbolt aware', therefore historically it has been felt this is not a workable solution. However I did find the following articles which seem to suggest at least partial success. It maybe you need to use the built-in video for the boot screen and the main display but you might be able to use a second video card via a Thunderbolt chassis for an additional screen and/or for GPU acceleration e.g. CUDA support. It may also only be possible with a very limited number of video cards, the now also old GTX 780 Ti seems to be mentioned often.
It should be noted that for AMD video cards Apple are the sole source of OS X drivers and frankly the most polite term that can be ascribed to Apple's drivers is 'mediocre'. Apple also supply drivers for some Nvidia cards and again the same description would apply, however as noted in one of the below articles Nvidia also provide their own Mac drivers. (Nvidia describe these as 'web drivers' in that you have to download them from their website.) Nvidia's drivers do appear superior in many areas. I mention all this because Thunderbolt3 if/when Apple eventually support it will be even more suited to the concept of using an external i.e. Thunderbolt connected video card but it will be down to the drivers as to whether this works any better.
Here are the links…
http://www.xlr8yourmac.com/tips/MBP_ThunderBoltVideoCard.htm
http://www.anandtech.com/show/7987/running-an-nvidia-gtx-780-ti-over-thunderbolt -2
http://www.journaldulapin.com/2013/08/24/a-thunderbolt-gpu-on-a-mac-how-to/
http://www.journaldulapin.com/2014/12/04/a-nvidia-maxwell-card-with-thunderbolt- on-a-mac-running-yosemite/
http://www.extremetech.com/extreme/162652-diy-external-thunderbolt-gpu-turbo-cha rges-macbook-air-graphics-performance-by-7x
http://barefeats.com/tube21.html
and
https://bizon-tech.com/us/bizonbox2-egpu.html/
I list the last link separately because I have some doubts over that solution. For example they list support for Oculus Rift but of course that does not work in OS X even if you have a theoretically powerful enough video card. So do some research if you want to consider this one.