Heat oil in large saucepan over medium heat. Add onion and bay leaf; cook 5 minutes, until softened. Add tomatoes; bring to a simmer. Lower heat; cover; cook 20 minutes. Remove bay leaf.
Puree tomatoes in blender or processor. Pour back into saucepan.
Mix cornstarch and milk in bowl. Stir into soup. Cook, stirring, over medium heat until thickened, about 6 minutes. Add pepper and thyme.