This is very much possible. By default Fakes framework doesn't generate shims for most types (including types in System.Threading namespace) of mscorlib because Fakes framework itself makes use of mscorlib. So only a few of the types are shimmed,
However, you can configure this behavior by changing the mscorlib.fakes file added in your project.
<Fakes xmlns="http://schemas.microsoft.com/fakes/2011/">
<Assembly Name="mscorlib" Version="4.0.0.0"/>
<ShimGeneration>
<Add Namespace="System.Threading!"/>
</ShimGeneration>
</Fakes>
Now build the test project and you can see shims for types in the System.Threading
namespace, including ShimThread.SleepInt32
.
Read more about the .fakes xml file on this page