You will need to publish your apps either to the app store or as a WebApp. The limitation does not come from Thunkable, instead it comes from Apple. Maybe we should all write them Angry letters Kindly asking for them to change this.
If you have an Android, this limitation does not exist. Basically, Apple wants a high level of control over the content that ends up on their hardware to make sure it doesn’t break the law, break the phone, degrade the iPhone brand, etc.