It seems that you have made 2 separate reservations. That means that the check-in staff at DEL cannot see your ticket from BKK to JFK and to them your final destination is BKK. Consequently you need to fulfil all entry requirments for Thailand (even if you decide to stay in transit/airside at BKK) as otherwise you will not be allowed to check-in for your DEL-BKK flight.

I have no first hand experience with BKK airport since outbreak of Covid, but in the past/pre-Corona it was no issue to check-in airside for your NH flight. I have done that. There are/used to be plenty of airside transit check-in counters.