An XY-Wing is a pivot {X, Y} and two wings it sees, {X, Z} and {Y, Z}. One wing must be Z, so a cell that sees both wings cannot be Z.
On a Thermo board this works exactly as in Classic. The examples are from Thermo puzzles on this site.
Worked examples
A position from a real Thermo puzzle on this site. Step through it: the board lights what each step talks about, and the arrows show what rules what out.
Pivot and wings
R1C4 (teal) has just two candidates: 2 and 3.
Where it fits
ExtremeXY-Wing is an Extreme technique: Extreme Thermo puzzles are the first to need it.
The Classic XY-Wing lesson teaches it on a plain 9×9 board. The Thermo overview explains the rule and the levels.
XY-Wing in the other styles: Sudoku X, Jigsaw, Windoku, Arrow.
Try it on an Extreme Thermo puzzle. Next Step points it out when it is the move.