Issue replacing a regular 3 way switch with smart one that requires neutral
Yes, that box is missing the neutral.

The National Electrical Code did not add that requirement until 2011.

Smart switches require a source of constant power to work. Therefore, they trickle a small amount of current on the neutral while they are working. They used to trickle this current on the equipment ground which was decided to be unsafe by the code making community. However, these older style switches that do not require a neutral are still available and can be installed in your situation.

Return the switch you have and look for a "no-neutral required" type of switch. Depending on how "smart" you want your switch to be, you can find occupancy / vacancy style switches that do not need a neutral and use the equipment ground instead. Similar to this one.

Harper is correct in his observation that thermostats use a low voltage system that is powered by the HVAC system through a transformer. You cannot get a neutral here.

Good luck and stay safe!