Try as he might, Thanatos can't stop a slight dusting of gold to appear on his cheeks at Yondu calling Zagreus his fella. It's something he doesn't think he'll ever get used to.

"Considering I could have been contained on a train with a bunch of mortals who hate me and want to lock me up further... I think I am the lucky one. All things considered." And Yondu taught Thanatos a little about lockpicking. That is something he appreciates more than Yondu possibly understands.