No, you should remove “Thank You” pages from your XML sitemap, because you don’t actually want Google to index and potentially send traffic to these pages. Additionally, you should make sure the pages have a “no-index” tag as well, because you don’t want traffic arriving on those pages that weren’t specifically sent through your form. You will often see Google Analytics configured to count traffic to a /thank-you page as a Goal, for the purpose of tracking conversions, so you do NOT want that number to be altered accidentally by an organic visitor sent by Google.
Eliminating those pages also makes sure that Google doesn’t ignore your sitemap file, which it may choose to do if it runs into “too many errors”, such as 404 pages, 301s, non-canonical or no-indexed pages. Therefore, if you already had your thank you page set with a “no-index” directive, you really should NOT have included it to begin with!