it's possible! this isn't a solid au, i'm just exploring the scenario of "delgal's execution" so there can be any number of paths. let's go through them:

the enemy captures the golden castle and condemns delgal to be executed. it's good sense to get rid of any remaining members of the previous royal line when you're trying to take their throne! so where's thistle in this?
-imprisoned. as delgal's court sorcerer and favourite, he's a valuable source of information. if we're feeling sadistic we can say they make thistle watch when delgal is executed.
-escaped. maybe he's hiding in the crowd, waiting for the right moment to disrupt delgal's execution!
-already dead :( thistle made a last stand to protect delgal and was overwhelmed and defeated.

if this is an internal coup though, it seems more likely that thistle would be subdued and imprisoned before they ever moved on delgal. they'd know exactly how loyal thistle was, they'd know he was a massive threat, they'd know he'd never cooperate with them. and they'd know how to capture him. thistle is kept out of the way until the new king is crowned and delgal is beheaded before witnesses, and like you said, with delgal gone, thistle has no allies left in that castle. this is actually a very fun start to a story...

oh man, and what if they keep delgal's execution from thistle? if he's imprisoned with no other source of information than his jailers, then thistle could be told anything to make him cooperate with them. delgal's life (which no longer exists) would become a more effective threat than torture