If a transformer's thermal fuse is blown, would it show Open Circuit?
A thermal fuse is designed to fail open. If it would fail short I would rather call it thermal detonator, or something like that.

Your fuse is definitely intact. You can not know if it has been damaged with just a multimeter, but if the transformer does not produce output voltage the fault is elsewhere.

Try to check the secondary winding or other support circuits that might be connected to the transformer.