Simply, once fermented they have no character. It is possible to make a wine from them and some companies do use them to supplement other grapes, but an all-thompson wine will not have much flavor. This is why immigrants have been smuggling in grape vines from Europe pretty much since the Vikings landed.
Yooper pointed me to a rather good website http://winemaking.jackkeller.net/
which has a section on using native grapes to make wine. I didn't notice anyone using Thompson grapes, but I am going from memory.