There is nothing to install on the thin client. When you plug the printer into the thin client is it recognized on the thin client? You would see on the thin client in the Event Log if the printer is identified when plugged in. In the Peripheral management section of System Settings you should see the printer and have the option to print a test page.
If that is successful you would use USB redirection to the RDP session. On the Windows machine you are connecting to in RDP you would want to have the drivers installed for the printer if Windows doesn’t automatically detect and install them.