Where can I build a Thermal Power generator in XCom
You can only build thermal generators on squares in your base view that have "Steam" in them. This is a bit confusing in the tooltip, but that's the way it's implemented.
There's no reason to avoid building on an adjacent square - there's nothing unusual about the space above a "Steam" square. However, there is an adjacency bonus for power plants. Therefore, you might want to consider building another power plant type there, in order to get the bonus power.