From the transcript:
Clove: Now, it's too bad you couldn't help your little friend. That little girl... what was her name again?
Clove: Yeah. Well we killed her. And now... We're gonna kill you...
[Thresh pulls Clove off Katniss, pins her by the neck against the Cornucopia]
Thresh: You kill her?
Thresh: I HEARD YOU!
Thresh: Shout her name!
Thresh: Say her name! [Slams Clove against wall until she dies]
Thresh [To Katniss]: Just this time twelve. For Rue!
The entire dialog portion happens within 20 seconds. Thresh grabbed Clove within 4 seconds after she says
we killed her. The dialog where Thresh asks Clove if she killed him [rhetorically], is muffled by Clove screaming for Cato, so on first listen you may miss it, but it's clearly there. See the clip below.
So between Clove's words, and the concept of Alliances that the Tributes are trained to form, Thresh clearly knew what had happen.
In the book, the scene plays slightly different. He questions Katniss on what Clove was saying first before deciding to give her a one time pass:
“Forget it, District Twelve. We’re going to kill you. Just like we did your pathetic little ally . . . what was her name? The one who hopped around in the trees? Rue? Well, first Rue, then you, and then I think we’ll just let nature take care of Lover Boy. How does that sound?” Clove asks. “Now, where to start?”
[Clove plays with her prey, Thresh pulls her up]
When he shouts, I jump, never having heard him speak above a mutter. “What’d you do to that little girl? You kill her?”
Clove is scrambling backward on all fours, like a frantic insect, too shocked to even call for Cato. “No! No, it wasn’t me!”
“You said her name. I heard you. You kill her?” Another thought brings a fresh wave of rage to his features. “You cut her up like you were going to cut up this girl here?”
[Thresh Kills Clove]
When Thresh whirls around on me, the rock raised, I know it’s no good to run. And my bow is empty, the last loaded arrow having gone in Clove’s direction. I’m trapped in the glare of his strange golden brown eyes. “What’d she mean? About Rue being your ally?”
“I — I — we teamed up. Blew up the supplies. I tried to save her, I did. But he got there first. District One,” I say. Maybe if he knows I helped Rue, he won’t choose some slow, sadistic end for me.
“And you killed him?” he demands.
“Yes. I killed him. And buried her in flowers,” I say. “And I sang her to sleep.”
Tears spring in my eyes. The tension, the fight goes out of me at the memory. And I’m overwhelmed by Rue, and the pain in my head, and my fear of Thresh, and the moaning of the dying girl a few feet away.
“To sleep?” Thresh says gruffly.
“To death. I sang until she died,” I say. “Your district. . . they sent me bread.” My hand reaches up but not for an arrow that I know I’ll never reach. Just to wipe my nose. “Do it fast, okay, Thresh?”
Conflicting emotions cross Thresh’s face. He lowers the rock and points at me, almost accusingly. “Just this one time, I let you go. For the little girl. You and me, we’re even then. No more owed. You understand?”