thread: errno on thread creation

thread: errno on thread creation

When thread creation fails, the code uses `errno` to remember the cause.
But pthread_create() never sets errno and gives the error as return value.
Fix that by setting the return value into errno on failure.

Windows: I think the ifdef was the wrong way around. Also set a generic
Windows Error code on CE systems.

Reported-by: Joshua Rogers
Closes #18998