Does my flight for a non-immigrant O visa have to be direct to Thailand from the UK, or can I stop in another country?

When applying for a non-immigrant O visa, you need to provide a PNR number for your flight. The embassy requires evidence that you're in the country from which you're applying, so your flight does not have to be direct to Thailand. You can stop in another country along the way, as long as you can provide a PNR number for the entire journey.