How to wipe entire iCloud library without having to download it first?
You can delete them on iCloud.com but deleting thousands will be painful. Photos can be permanently deleted immediately by deleting them from the "Recently Deleted" album.

Just enable iCloud Photo Library on the Mac using the "Optimized Size" setting and placeholder/thumbnails for the photos will quickly appear. Delete them from the regular Photos view then delete them again from "Recently Deleted" and you should be good.