procedure TChildThread.execute();
begin
  if (assigned(FOnDeleted)) then Self.destroy();
end;

TParentThread = class(TThread)
  private
    childThread: TChildThread;
    CanFreeChild: Boolean;           // <<< 1
  protected
    procedure execute(); override;
  public
    constructor create();
    destructor destroy(); override;
    procedure removeChild(sender: TObject);
end;

constructor TParentThread.create();
begin
  inherited create(false);

  childThread := TChildThread.create();
  childThread.onDeleted := removeChild;
end;

procedure TParentThread.removeChild(sender: TObject);
begin
  CanFreeChild := True; // <<< 2  
end;

procedure TParentThread.execute();
begin
  while not Terminated do begin
    ...
    if CanFreeChild then begin  // <<< 3
      FreeAndNil(childThread);
      CanFreeChild := False;
    end;

  end;
end;