Typically you'd use https://docs.marklogic.com/thsr:expand to expand your query, then pass the results as XML to https://docs.marklogic.com/search:resolve which would do the highlighting.
search:resolve(
document {
thsr:expand(
cts:word-query("Company"), $THESAURUS-ENTRIES, (), (), ()) }/*)
The thsr:expand
function uses your initial cts:query
item and your thesaurus entries to write an expanded query. The document { ... }/*
expression turns that cts:query
item into an XML element, which is what search:resolve
expects.