Can you confirm if the DLL is available inside the ThinApp Project folder under same location?
Yes the File is in the "%drive_C%" Folder in the right Directory.
Please use the parameter 'ExternalDLLs' that will force Windows to load the DLL from the virtual file system. Rebuild the package and test it (delete any existing sandbox)
Can you, please, run debugging point cmd.exe (virtualized cmd.exe) and check if that DLL is really inside virtual environment in running virtualized application?