The same way you deal with Thresh in lane and the same way you deal with Cait in lane. They aren't even an OP lane combo. Dodge Thresh's hooks, play a support with good disengage or heals, don't try to dive Thresh/Cait. You don't even need to win the lane hard. Cait is a midgame champion as long as she doesn't get fed she will fall off late game. If you're playing a Late game Ez build or a Tristana or a Vayne or even Jinx you'll just outscale Cait later on.
Not only that but Thresh has subpar armor for a lot of the early/mid game (unless all he builds is armor) when the lane starts Thresh won't have armor and will be really squishy. If you're playing an early game ADC like Graves you can poke him down easily and he won't want to engage you. If you're playing a support with good hard CC (Taric, Leo, Braum, Nami) you can just stun Cait before she can click lantern or net, or you can stun Thresh and get rid of him.