You need to be more specific :
- What iSCSI SAN storage do you have?
- How do you provision and connect LUNs?
At a high level the only iSCSI related storage that Proxmox supports out of the box with a plugin that does volume/lun creation is ZFS/iscsi. Only in this case Proxmox is responsible for creating both the volume on the backend and the iSCSI target/lun. So in theory you could specify extra options such as thin. I dont know what it does by default when it creates ZFS volume.
If you are talking about an enterprise type storage, or even DYI iSCSI, Proxmox is not involved in LUN creation in any way. You are responsible for creating the LUN and exposing it via iSCSI. As a client Proxmox has no idea whether its thin or not.
You can then layer a volume manager (LVM) or filesystem on top of that LUN. There you can again specify characteristics of the higher layer. Or you can pass the LUN as raw storage to the VM.
There are some custom community plugins for systems such as TrueNAS that I imagine also do volume/disk creates. You'd have decide on their completeness state on your own. They, obviously, come with no official support.
Finally, there is Blockbridge storage plugin for Proxmox. It is considered custom and out of the tree. It is fully supported by Blockbridge for Blockbridge/Proxmox customers.
Our plugin manages the whole lifecycles of the iSCSI storage: from lun creation, to snapshots, moves, clones and deletion.
When you define Blockbridge storage in the Proxmox, you can specify the "query" which is used to construct the storage. By default its creating thin disk/LUN, but you can override that with a query.
https://kb.blockbridge.com/guide/proxmox/
Ultra low latency all-NVME shared storage for Proxmox - https://www.blockbridge.com/proxmox