There's bit of a mushy terminology problem here. Generally when we say
threading we mean schemes that don't rely on generation of new native-code sequences, sure, but people who are serious about efficient threading don't necessarily view it that way.
The term context threading refers to generation of native code that behaves much like conventional threaded-code interpretation, except specialised to the particular input code. [0][1]
See also dynamic superinstructions, a term used by gforth to refer to its runtime generation of native code for input Forth code. [2]
Disclaimer: I'm no Forth expert. I should give [1] a proper read, it looks interesting.
[0] https://webkit.org/blog/214/introducing-squirrelfish-extreme...
[1] (PDF) https://csng.cs.toronto.edu/publication_files/0000/0162/demk...
[2] https://www.complang.tuwien.ac.at/forth/gforth/Docs-html-his...