At a high level, I'm pretty sure Thunderbolt will be significantly better in all situations:
Thunderbolt is PCIe; depending on the way the network card driver works, the PCIe controller will usually end up doing DMA straight into the buffers the SKB points to, and with io_uring or AF_XDP, these buffers can even be sent down into user space without ever being copied. Also, usually these drivers can take advantage of multiple txqueues and rxqueues (for example, per core or per stream) since they can allocate whatever memory they want for the NIC to write into.
USB is USB; the controller can DMA USB packet data into URBs but they need to be set up for each transaction, and once the data arrives, it's encapsulated in NCM or some other USB format and the kernel usually has to copy or move the frames to get SKBs. The whole thing is sort of fundamentally pull based rather than push based.
But, this is just scratching the surface; I'm sure there are neat tricks that some USB 3.2 NIC drivers can do to reduce overhead and I'd love to read an article where I learned more about that, or even saw some benchmarks that analyzed especially memory controller utilization, kernel CPU time, and performance counters (like cache utilization). Especially at 10G and beyond, a lot of processing becomes memory bandwidth limited and the difference can be extremely significant.