Can I simply add a 240V Neutral to SONOFF TH10 when replacing wall thermostat
Looking at how the SONOFF TH10 is supposed to be used:



And also looking at the photos of the PCB here.

I come to the conclusion that the switched output of the SONOFF TH10 is NOT isolated from the mains.

That means that you cannot use the SONOFF TH10 as a mains isolated switch at all.

The SONOFF TH10 draws its power from the mains directly. That then also connects mains to the switching output. If you would use that as a replacement for your wall mounted thermostat you must be 100% sure that that is allowed and safe.

I am 100% sure that that will not be safe. All the wall thermostats I have seen use a low voltage and mains isolated connection from the central heating unit to the thermostat. This has the advantage that safety isn't an issue, also thin low-voltage wires can be used.

Only if your current wall thermostat is of a type that directly switches mains voltage would I say it is OK and safe to use the SONOFF TH10.

If that is not the case then using the SONOFF TH10 as a wall thermostat replacement will very likely result in an unsafe situation. In the heating system in my home, if I would do this and it would work (nothing blows up) then next time a mechanic does maintenance on my heater, (s)he might get an electric shock. That's not a risk I would take.