Bud potrebujes i informaci o radku, pak si konstruktor rozsir o informaci obsahu bunky:

TMujThread = class(TThread)
  private
   i_radek:integer;
   s_obsah:string;
  protected
  procedure Execute; override;
  public
    constructor Create(radek:integer; obsahbunky: string);
  end;
  
constructor TMujThread.Create(radek:integer; obsahbunky: string);
begin
  i_radek := radek;
  s_obsah := obsahbunky;
  inherited Create(True);
end;

for i := 1 to StringGrid1.RowCount-2 do
    StringGrid1.Objects[0, i] := TMujThread.Create(i, stringgrid.Cells[2,i]);