"Sexy" to pertain to something of sex or intense pleasure. "Thang" a urban hip term whose origination are from the community of Blacks, refers to a thing thats cool.
Hence "Sexy Thang" is used when such perversions are unwanted. It is used especially when specific details of a thing are to be generalized as to avoid provoking a person to think dirty thoughts.
It may not be used as an insult.
I get excited when I'm alone and I watch some sexy thang.