BLDC speed and torque control
So, if I want the speed to remain at, say 3000rpm, and increase the
  thrust from, say 400g to 500g, I increase the current through the
  motor. I do this by increasing the PWM duty cycle. But, this means the
  speed will also increase from 3000rpm to a higher value, right? How
  can this be maintained then?


You would only want to increase the torque (thrust) if the mechanical load were threatening to slow the motor down - by increasing the PWM to counter that increase in load torque you are largely keeping the motor at constant speed. Remember a simple DC motor (even a brushless type) has a very clear torque-speed characteristic that means, for a given speed at a given torque, an increase in torque of \$x\$ will reduce the speed largely by \$x\$ also.

It's a not a perfectly linear relationship and changes entirely when field windings are implemented but it's fairly reliable: -