Ensure the disks you want to pool are showing properly in the Proxmox VE interface under Disks.

You will need to use the server's shell (command line interface) to enter commands. You can launch it by clicking your node's name in the tree and then clicking on the Shell button. This will launch a shell in a new browser popup window.

Wipe the drives real quick to ensure that they are free from any existing filesystem data that may previously have been there. Make sure you use your actual drive's names.

wipefs -a /dev/sdb /dev/sdc

Now use pvcreate to create physical volumes from the disks.

pvcreate /dev/sdb /dev/sdc

Use vgcreate to create a volume group with the drives. In this example, "hdd-thin" is the volume group name. You can name this to what makes sense for you.

vgcreate hdd-thin /dev/sdb /dev/sdc

In the Proxmox VE web interface, if you go to LVM, you should see your volume group with your drives. You should see the total storage space available.

Switch back to the shell. Create a logical volume. In this example, the first "hdd-thin" is the pool name. The second "hdd-thin" is the name of the volume group. You will also need to adjust the sizing. Proxmox VE reports the actual size of the disk, but you lose some space due to formatting. In this example, if you have 4.00 TB raw, you can create the volume as 3.6TB.

lvcreate -L 3.6T --thinpool hdd-thin hdd-thin

In the Proxmox VE web interface, if you go to LVM-Thin, you should now see your volume group. In order to let Proxmox VE use it, you need to go to Datacenter > Storage

Click the New button and select LVM-Thin

Now give it a unique name and select your volume group and thin pool you created. Click on add.

Now you should have your thin storage available for use.