The problem is that the Airline will not let you fly to Thailand without a confirmed flight out of the country. This doesn't have to be a special requirement. They will just look at your status, visa, country of origin.
A few ways to get around this legally:
*Buy the cheapest air Asia ticket you can find. I've done this in the past and found deals of 15 to 20 Euros.
*You can also buy a ticket (to anywhere) with an American travel agent such as Expedia and cancel it within 24 hours for a full refund.
*For some purposes, you can also make a reservation with Turkish Airlines without any upfront payment.