As of this writing, it has not been confirmed who will be playing the role of Thrawn in The Mandalorian, or in any live-action Star Wars project for that matter.
Who created Grand Admiral Thrawn? Thrawn was introduced to the Star Wars universe by author Timothy Zahn in a trilogy of novels beginning in 1991.
This firmly connects the narrative in The Mandalorian season 2 to the Star Wars Rebels series finale.
The first book, titled Star Wars: Thrawn was released in 2017.