Most doctors will start looking at your thyroid if you've had more than one miscarriage, have signs of hypo or hyperthyroidism, or there's a family history of thyroid issues. My thyroid wasn't checked until I'd had 2 consecutive losses. I'm currently monitored yearly since there is evidence of a hereditary thyroid condition in my family but thus far, my tests always come back normal. And since my numbers don't change and we've since found out I have a clotting disorder, my doctors don't feel my thyroid is the cause for my losses. That doesn't mean it's not the cause for other women's losses.
Yes, there is a link between the two but if you've only had one loss, then your doctor may not look into it too much right now.