While it is true Thresh is a bit spooky for a noir, Roaring Twenties aesthetic, there are ways to creatively work around that. Why not have the lantern be a street lamp, beneath which many a hardboiled protagonist has mused on the nature of the most recent mystery? Have the shield it grants be a swirl of fog, like the misty streets of a big city morning. Crime bosses have a tendency of prescribing unusual punishment to those that displease them, such as fitting them with a pair of cement shoes and dropping them in a river, or chaining them up to a heavy object for the same effect. The sickle presents a bit of a problem, but some creative exploration could resolve that discrepancy, such as a cane, perhaps?
Really though, I just want to get Thresh into a suit; Deep Terror is quite spooky, Championship is neat, and Shinigami Blood Moon is awesome, but having a skin with class would be a wonderful addition.