I discovered by accident that Thunderbolt 3 magically works in OpenBSD on my X1 Nano.
I plugged in a Thunderbolt NVMe enclosure to check whether it would fall back to USB attachment, but ppb, pci, and nvme devices attached. I verified with an Apple Thunderbolt 2 ethernet device (through a Thunderbolt 2 to 3 adapter) and it also attached as bge0 as expected, and detached properly when unplugging.
My previous tests with Thunderbolt on other OpenBSD laptops only worked when the devices were plugged in at boot time, since the firmware had to setup the device. I'm not sure whether something changed in OpenBSD or the EFI firmware that makes hotplugging work now without a Thunderbolt NHI driver, but I'll take it.
The best kind of drivers are the ones that don't have to be written :)