A famous bearer of this name is Queen Thyra, wife of Gorm the Old of Denmark. She is believed to have led an army against the Germans. She is an ancestor of Queen Elizabeth II.
Dr Samuel Gee (1839-1911) was a well-known English medical specialist - his daughter was called Edith Thyra Gee. I think it's weird how he chose that "thyroid" spelling!
Princess of Thyra of Denmark (1853-1933), daughter of King Christian IX of Denmark, sister of King George I of Greece and Maria Feodorovna, Tsesarevna of Russia.