"th" isn't really used in Finnish (at least in modern kirjakieli). Even loan words just drop the "h" (e.g. "termostaatti"). There probably are some exceptions, but none that I can think of right now.
Also, I wonder what's the share of the pronounciations "t", "th" and "θ" in the word "theremin".
(You can download a list of word forms encountered in some selected written texts here: https://kaino.kotus.fi/sanat/taajuuslista/parole.php)
triathlon, smoothie, maybe also apartheid
Also the dictionary finds huithapeli, häthätää, rustholli, but I don't think these have 'th' as a phoneme.
https://www.kielitoimistonsanakirja.fi/#/*th*?searchMode=onl...
What do you mean by having 'th' as a phoneme? If you mean the sound "θ", I don't think any of the words are pronounced with one in Finnish, typically. Rather, they have a "t" sound followed by a "h", or just a "t".