Thule was said to be 6 days sailing north-west from Britain, which is probably why Orkney isn't mentioned - it's far too close to mainland Scotland for it to be Thule. I think the concensus now is that Thule was probably Iceland
however, there was also said to be an Ultima Thule beyond Thule, and this it would seem was Greenland (there is even an airbase on Greenland now called <a href="http://www.thule.af.mil">Thule</a>)
I think the names Thule and Ultima Thule have been confused as one and the same at various points, and the Thule "discovered" by Pytheas may well actually have been Greenland. the Gulf Stream comes up the west coast of Scotland and curves round towards Greenland, and would have provided enough extra speed to take a boat from Britain to Greenland in 6 days (see <a href="http://www.ahepafamily.org/d5/pytheas.html">here</a>)
on a slight tangent while we're in the area, anyone interested in Atlantis might like to know that there was a group of islands marked on some early maps halfway between Greenland and Iceland, but on a map in the 1400s it said that the last of these islands was "burned up" in 1350. modern oceanographers have now found sunken volcanoes in the area
Cheers
Andy