The Foxes have paid a compensation fee of around £450,000 for the 20-year-old, who was out of contract with the Sky Blues.
The highly-rated forward came through the Coventry academy and made his professional debut for the club in 2014.
He went to score nine times in 53 appearances and netted the winner at Wembley in last season's EFL Trophy final.
Thomas, who was born in Leicester but is Wales Under-20 international, has penned a three-year contract with the Premier League side.