THHN use with Blue Plastic Romex Connector Switch/Outlet Boxes
You cannot use THHN without running it in conduit, with suitable terminations, all the way into the boxes.
The blue plastic boxes are not suitable for this use. They are cheap junk for running NM/B only, and not suited to other wiring methods, and it's dubious if they are suited to that, IMHO. I used them as an ignorant kid. I don't use them now. They are chintzy and fragile at best.
Masonry boxes, from steel, with knockouts, exist, and don't even cost much money.
You should have fully completed the conduit paths when building the wall (ENT is the classic masonry wall conduit) all the way into their boxes. You may now need to partially demolish your work and redo it correctly, if you have &quot;formed blue boxes in place without addressing the need to connect to conduit&quot; which is what I think I'm reading.
Each and every sub-panel needs 4-wires (or 3-wires and continuous non-flexible metallic conduit, but with a pool involved, you may need the wire anyway) from the main, or the upstream sub-panel - hot, hot, neutral and ground. Connecting them to a local grounding rod is fine, but not a replacement for a grounding wire (separate and isolated from neutral) all the way back to the Main Panel feed and bond point.