The Thexians are an alien race briefly mentioned in a throw-away sidebar comment in the Warhammer 40,000 5th Edition Codex. Everything that is known about them, which isn't much, comes from the single paragraph in that book.
The Thexians hail from the oxidised worlds in the Ghoul Stars region known as the "Bloodmoons of Thex Prime," from where they oversee the greater Thexian Trade Empire. In this capacity the Thexians are formally referred to as the Thexian Elite, as they apparently form the ruling class despite comprising only 15% of their empire's population. The Codex refers to them as being "bimorphic," which is possibly a misspelling of "biomorphic," implying that they may have an ability to alter their form and appearance. In any event, the Thexians possess abilities that allow them to be famously persuasive: they are known to be master manipulators when engaging in diplomacy with other races. They have even worked themselves into positions of authority in other alien empires, including the Borlac, Loxatl, and Nicassar civilizations. Therefore, despite being few in number the Thexians are very strong in influence. However, Thexians do not shy away from combat and their "battle form" is described as being quite terrifying to behold.
As the Thexians are known to the Nicassar it is almost certain that the Tau Empire knows of them as well. However, it is unknown if there is currently any relationship between the Tau and Thexian civilizations.