How to handle supervisor not giving appropriate credit
I wouldn't particularly expect the thesis to be mentioned in a presentation, and I certainly wouldn't find its omission "alarming".    In academic research, a thesis, especially an undergraduate thesis, is a sort of "second class citizen" and is usually considered a much less important type of writing than a peer-reviewed publication.  (This is why you normally try to "publish your thesis" by writing papers with the same content as your thesis.)  Natalie did the work that's contained in the paper, and she's getting credit by being an author of that paper (ignoring issues about author ordering); whether the work was part of a thesis isn't seen as especially relevant.

Now, if the thesis contains additional information that is directly relevant to the paper, then the paper certainly ought to cite the thesis, but one should keep in mind that people may take it less seriously because it hasn't been peer reviewed.  However, if the thesis only contains basically the same content as the paper (or a subset), then in my experience, the usual practice would be to not mention the thesis.

Natalie is certainly free to mention, in her part of the talk, that the work being presented was part of her thesis, but this isn't really relevant information to the audience.  If there are places where the thesis contains discussion of relevant topics that are not in the paper, it could make sense to mention it ("see my thesis for further details").  But it's not inherently necessary.

Added: You say Natalie is worried that Betty will be angry if Natalie mentions the thesis in the talk.  I don't see why she would be angry, but if Natalie is worried, she can discuss it with Betty beforehand.  It sounds like she's observing that "Betty didn't plan to mention the thesis" and inferring that "Betty strongly objects to having the thesis mentioned at all", but I don't think that inference is justified.  I think it more likely that Betty simply didn't plan to mention the thesis just because she didn't think it was important or relevant (for the reasons I stated above).  But if Natalie does think that it would be relevant to mention the thesis, and if she can articulate her reasons (beyond "self-promotion"), then I wouldn't think Betty would object to having it mentioned.  At the very least, I wouldn't think she would object to discussing the possibility of mentioning it.