Thornton replaced the ineffective Stern John up front for Coventry after 61 minutes and snatched all three points after combining with fellow substitute Dele Adebola to score a terrific low left-foot shot.
Hull dominated possession and territory for most of the match but struggled to carve out clear-cut openings.
However, the hosts nearly grabbed the lead within the opening two minutes as Andy Dawson's deflected left-foot drive from 25 yards rolled just wide.
Jon Parkin forced Sky Blues goalkeeper Andy Marshall into two comfortable saves as Hull continued to press, but the giant striker fluffed a golden chance just before half-time.
Marshall could only parry a shot from Ryan France, but Parkin's attempt from the rebound was somehow kept out by the floored goalkeeper.
At the other end, John wasted his only opening of the match when he scuffed a shot straight at Boaz Myhill.
Hull's most positive player, Dean Marney, surged past two players before firing a right-foot shot over the crossbar from 25 yards, but despite his efforts the score remained goalless at the break.
The second half was a largely terrible affair with both Coventry manager Micky Adams and Hull boss Parkinson looking to freshen up their attacks.
Adams brought on Thornton and Adebola for John and Colin Cameron respectively, while Parkinson introduced Ben Burgess and Nick Barmby halfway through the second period.
The changes did little for the hosts and Coventry gained confidence as the match wore on.
Kevin Kyle, making his debut for the Sky Blues after signing from Sunderland on Friday, produced a stunning 30-yard shot on the turn that Myhill did well to tip round the post.
Five minutes from time Thornton grabbed the winner with a superb strike.
Adebola released his team-mate with a clever pass down the left channel, and Thornton ran on before drilling an angled strike across Myhill and into the bottom right corner from 12 yards.
Hull never really looked like grabbing an equaliser with their final ball into the penalty area persistently letting them down.