Thermal paper is used with thermosensitive printers - mainly for facsimile machines. The base paper is first coated (eg: by film press water) to improve hold-out of the more expensive top coat. The top coat places a mixture of 2 solids on the paper, although they are prevented from reacting by a wax or polymer.
This heat causes the wax or polymer to melt, and the 2 compounds interact to give a colored image. Paper sensitivity, by which thermal papers are graded, refers to the speed at which this chemical reaction responds to the heat of printing.