When alternating current is passed through a thin conductor, that conductor periodically heats up and cools down following the variations in current strength. This periodic heating and cooling creates temperature waves which the conductor propagates into the surroundings. As the temperature waves propagate away from the conductor, the thermal expansion and contraction of the transmission medium (e.g. air) produces corresponding sound waves. 
An ideal thermophone is made of a conductor which is very thin and has a small heat capacity.