"Sexy" to pertain to something of sex or intense pleasure. "Thang" a urban hip term whose origination are from the community of Blacks, refers to a thing thats cool.
Hence "Sexy Thang" is used when such perversions are unwanted. It is used especially when specific details of a thing are to be generalized as to avoid provoking a person to think dirty thoughts.
It may not be used as an insult.
I get excited when I'm alone and I watch some sexy thang.
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That one girl/boy walking down the streets/road with the nice ass. That you just can't help looking at and dreaming it would be in bed with you.
"Ooo Rebeca look at his sexy booty thang"
"LOOK OUT HERE COMES A SEXY BOOTY THANG!"