Can damage from thornmail critically strike?
There's a bug where you have like a .00001% chance of getting a critical hit even without any critical strike items. Minions do it occasionally.
As for thornmail, it deals magic damage as a percentage of the net total damage you receive. So I believe the fact that the dmg is magic answers your question. We can't talk about critical magic dmg (that would be...interesting lol)
Thornmail itself does not do a set amount of damage, it is based on the enemy... If an enemy crits you, they will take more damage than if a normal autoattack hits you.