Thursday is a translation. Nobody in early England invented a new name for the fifth day of the week. They took the Roman one and swapped the god.
The Romans tied each day of the week to a god. The fifth day belonged to Jupiter. It was Iovis dies, "Jupiter's day." Etymonline notes that the Latin phrase itself was a translation of a Greek one, dios hemera, "the day of Zeus."
Latin's descendants kept the original god. French jeudi, Italian giovedi, Spanish jueves and Romanian joi all come from Iovis dies. Wikipedia lists these among the Romance forms that still name the day for Jupiter.
The Germanic peoples did something different. They matched each Roman god to the Germanic god with the closest job. Jupiter was a sky and thunder god, and Etymonline says the Romans identified him with Thor. The Old English knew the same god as Thunor.
The result in Old English was þunresdæg, "Thunor's day." Etymonline says it later contracted to þurresdæg, possibly with some influence from the Old Norse þorsdagr, and became Middle English Thuresdai.
The god's name is just the word for the weather. Etymonline says Old Norse Þorr is literally "thunder." It comes from Proto-Germanic þunroz, which is also the source of the English word thunder. German Donnerstag and Dutch donderdag keep that link plain, since Donner and donder mean thunder in those languages.
The same swap gave English two of its neighbors. Tuesday is the Old English tiwesdæg, after the war god Tiw, standing in for Mars. Wednesday is wodnesdæg, after Woden, standing in for Mercury.
Etymonline does not date when Germanic speakers made the translation, and it gives no first written use for the English word. The pattern is clear, but the exact moment is not.