Technically, you need a work permit to do consulting AFAIK. You need a work permit for any revenue generating activity in Thailand. And even for voluntary work.
My daughters do this all the time. Leave the US on US passport, enter Thailand on their Thai passport. No dramas. Why would your wife enter Thailand on a foreign passport if she has a Thai one? That makes zero sense!
I don't get stamped in/out of Hong Kong. I receive a piece of paper instead of a stamp. Not sure if that's because I can use the automated gates or no one does.