I've done some preliminary research, and found nothing on Thaleia.
This is one of those wonderful little "mythical myths" where the only sources are secondary: all we know of this nymph comes from a mention in ancient text "The Life of Aeschylus" with no author attributed. The mention is apparently in relation to a lost play of Aeschylus.
So that's all the information there is, and it's highly unlikely there will be any more information forthcoming.
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_PS- thanks for raising this question. The wikipedia article should be amended to use the spelling in the sole reference,Thaleia, because the current spelling in the wiki injects needless confusion._