Plenty of characters say, “Thank you.”  Bilbo even says, “Thag  you bery buch.”  Hyphenated like this refers to the polite phrase – “a thank-you”, as in “an apology” or “a greeting”.

• 02.001 (“but with never a thank-you” he thought);

It’s only given hyphens in this use – referring to the phrase, not the phrase itself – in the OED.

“ˈthank you, phr. and n.” OED Online, Oxford University Press, June 2017, http://www.oed.com/view/Entry/200160. Accessed 21 September 2017.