There are a couple of ways you can make a thermal relief... depending on what you are trying to do and if your board is DIY or fabricated by a PCB fab house.
The copper pad when commercially made will not be covered by a solder mask... The copper fill will be covered by solder mask. If you make as custom size copper fill and "lock it", and then create another copper pour, the lock will keep provide a blockout around the custom fill. You can also use a combination of both pad and fill, like pad on top and fill on the bottom and connect together with vias...
You can create a custom shape like a pad or hole, make a copper pour, then delete the shape and lock the copper pour, create another copper pour and it will fill the void and create your shape out of with copper fill. Then lock the little copper fill custom shape and unlock the large copper pour and delete it. All that will be left is your custom shape. In FZ there is a work around for everything...
Another way is to make a custom part with copper pads on both sides connect by a bunch of laser drilled 0.33mm holes and insert it as a part. That is the way I normally do it. If the part requires a thermal relief, I will create a thermal pad in the custom part so that the thermal relief and connector pads are all together in the PCB view and don't need the add it separately.