Well, you're using a derived class for your own threads right ? (yes you do, using callbacks is not clean C++ and is meant only for compatibility with other languages).
So you can just add this feature to your class.
class MyThread : public sf::Thread
{
public :
MyThread() : IsRunning(false) {}
bool IsRunning() const {return IsRunning;}
private :
virtual void Run()
{
IsRunning = true;
// ...
IsRunning = false;
}
bool IsRunning;
};