Why did J.J. Thomson observe protons in his cathode ray experiment?
Thompson observed more than just cathode rays.

He experimented with different gases and different pressures in his tubes. When there is a significant amount of hydrogen you get ionisation of the gas and more than one type of charged particle can be generated and deflected (though different conditions are needed to see protons than electrons). 

Part of the point of this was to distinguish between particles produced by the gas and particles produced when there was little or no gas. The point about cathode rays is that they can still be produced when there is virtually no gas in the tube by thermionic emission from the cathode. They have the same properties as one of the particles produced by ionising hydrogen which established some of the basis for saying that electrons are an important part of atoms.