Is saying "he's too thin to carry it (some very heavy stuff)" a euphemism?
If thin were used to suggest that someone is weak, it would be a euphemism, but as far as I have seen, it is not generally used in this way. As the Merriam-Webster entry suggests, thin and weak are synonyms in reference to things such as flavors, but not in reference to physical strength. If you are looking for a word that means both "not well fleshed" and "weak or feeble," then the word which would normally be used is scrawny.