Thunderhead Bay is a location mentioned in the Defenders of Berk comic, "The Endless Night".
Fishlegs describes Thunderhead Bay as a small atoll. Atolls are an island or islands formed from coral reefs that form a circle or crescent around a lagoon or bay of water. Most likely that would be the "Bay" in the name of Thunderhead Bay.
During the events of "The Endless Night", Skuld the Sorceress mysteriously arrives at Berk and curses the sun to darkness (a solar eclipse). Various Hairy Hooligan Tribesmen vanish into thin air.
The Dragon Riders uncover a plot between Skuld the Sorceress and the Thunderhead Tribe to capture Berk and sell off its people into slavery, all because of a feud long ago that no one remembers.