Need help understanding thermostat/heater wiring
You are missing something.

The schematic you drew is a fairly ordinary wiring arrangement where multiple thermostats and heaters are daisy-chained off of one electrical circuit.

In your drawing, the circuit feeding into the box might be shown at the bottom.  The thermostat controlled circuit leaves on the top right to connect to the local heater, and the feed through to the next thermostat and heater in the chain leaves on the top left.

The next thermostat and heater in the chain may be in a different room entirely and have nothing in common with the local thermostat except it is fed from the same branch circuit.