His skills most certainly proc thunderlords, but you only have two ranged skills so you will need to get an auto in. The Ghouls however do NOT proc Thunderlord's, as they are separate entities from Yorick whose stats are based on Yorick and for some reason apply some on hit effects like armor shred from cleaver but not on hit magic effects from things like Nashors or Rageblade (but good darn thing they don't or he really would be oppressive as all hells).
So not a bug, working as intended. Also, I use Thunderlord's most of the time when I play Yorick and it is quite amazing to open up with a WE and slap em in the face with extra damage from Q and Thunderlord's proc goes boom and half the health of the enemy (or more) just disappears.