Why turkey has the same name as Turkey
1889, "sensational story," agent noun from thrill (v.).
A suspenseful, sensational story or film: “Ken Follett writes best-selling spy thrillers.”
Note: In Great Britain, the word thriller is sometimes used for all mystery novels: “Martha Grimes, an American, writes British-style thrillers.”
An exciting movie, play, etc, esp a horror show; chiller (1889+)