new Thread vs StartCoroutine

What happens with a coroutine is that it is run on the main thread every frame and executes until it does a yield - then it will suspend until the yield condition is met. That yield condition is tested every frame and when the condition is met the code in your coroutine resumes. A thread effectively runs at the same time as other code (t$$anonymous$$s is only true when you have multiple cores). Unity cannot support accessing its API from anyt$$anonymous$$ng apart from the main thread.