No. You should "cut" the circuit where indicated and do the analysis to obtain the Thevenin model. The two 5k resistors are not in series. Hint: It's a voltage divider. Here's the circuit re-drawn to make it more obvious:
View attachment 106448
You should convince yourself that this is in fact the same circuit as the given drawing, only the voltage source's connection to the ground (common) node is made explicit.
By "output voltage of the diode" do you mean the potential drop across the diode, or the potential drop across the 2.5k load resistor?
If the former then perhaps your idea of finding the Thevenin model at the open terminals of the diode position would be appropriate. But you can always get there by doing the simpler voltage divider simplification first. As I mentioned before, you can do Thevenin simplification in stages, one part of the circuit at a time.