Another Reason Thresh Is Having a Good Time
One of Kalista's LoR lines to Thresh goes something like "the dying curse your name above all others, Thresh" and Thresh just laughs and says "Good." Aside from the obvious benefit laughing provides (making others suffer by pissing them off), Thresh has an even better reason to enjoy what Kalista says to him.
He's finally getting recognition. Of course he's happy! The one thing he sold out his whole civilization for when he was alive and Kalista's providing it to him at no extra cost! Yeah, she hates him and probably wants him dead, but unless his death animation is canon, she can't kill him in any way that matters.
Though getting repeatedly impaled by spears doesn't really sound like a good time. It says some troubling stuff about Thresh that he'd put himself at that much extra risk just so people will acknowledge him.