Can I prevent this?
Based on the environment you describe you won't be able to bypass this intentional security measure. A thin client is a dumb box. It's a networked attached USB that sends data to a session manager. The most common implementation of a thin client environment deals with a session manager like VMWare View. The reason you are unable to bypass this security measure, by running an application on the VM, is due to the fact the thin client is not sending data to the session manager.
Is there any good solution?
Without being able to adjust the policies yourself, there is no solution to prevent this security measure from being enforced, a security measure that has been implemented for a reason. As an Administrator myself, if I were to discover unauthorized attempts to bypass a security measure I had implemented, that would be grounds for immediate dismissal from the company.
You must understand, your workstation being locked is done due to security requirements. Preventing unrestricted access to this virtual workstation allows users to be held responsible. As a network user, you are responsible for everything that happens, while you are logged into the workstation.