Ha Ha Ha, Thargoids are scary. My only experience with them has been dying--twice--when I made the unfortunate blunder of crossing their paths and being pulled out of hyperspace. Of course I was super new then in an unengineered Viper Mk 3 and it was right before the big battle that killed that last big one. By the way I've seen several videos of CMDRs fighting Thargoids without shields but no one has ever explained why that is. I assumed it was to avoid their EMP attacks but idk tbh.
Once you've started fighting Thargoids you also start to have quite a different attitude towards being destroyed, ganked and the rebuy

. And once you become
successful at fighting Thargoids, you wallet also becomes much thicker and you never ever worry about the rebuy again.
Flying shieldless against Thargoids has multiple reasons to my knowlege: First, Thargoids do phasing damange, meaning a percentage of their attack goes through your shield, so shields are only partially effective to begin with. I don't know how large of a percentage though.
Then the shields enlarge your hit profile, which you want to minimize against Thargoids, unless you fly a big ship, I guess. Also, not dealing with shields in you PIP management is one less thing to deal with in the heat of the battle. Next, you want your ship to run as cold as possible; once you're under 20% heat the interceptors cannot track you properly anymore, and when you orbit them properly at that temperature, they will miss
every single shot of their cannons. A shield generator will possibly raise your heat profile substentially and make it harder to run sufficiently cold.
Another tool for disrupting their targeting that is the frequent use of silent running, which renders your shields inoperable anyway, and depending on the generator build they take way too long to recover, and take away vital PIPs from your distributor in the process.
Then there is their lightning attack. It's best not to get caught in it at all, but when you do (and as a beginner, you
will frequently), it drains your shields. And lastly, with a typical AX build it is hard to have effective shields anyway. Thargoid damage is absolute damage, meaning it ignores all resistances, so all that counts is raw strength. The ships typically used have limited unitlity slots that are usually filled with AX toys like the shutdown field neutralizer, heatsinks, AX scanners and caustic sinks, so you can't bring any shield boosters. Which means your shields will be paper thin to begin with anyway.
In conclusion you're better off just not bringing them at all, instead invest in proper armor and just stay cold and not get hit in the first place. All that goes for the typical medium sized AX builds like Chieftains and Kraits. The rules are a bit different for Anaconda builds or specialized builds against Hunters.
A piece of advice: When you eventually get interested in Thargoid combat and read the (otherwise brilliant) guides on the AX wiki, don't do the mistake I did and get discouraged by all the guides saying you need to master FA off first. You don't. You can do it FA on. You might never deliver peak goid hunting perfomance, and you have to adapt the orbiting technique a bit, but it is perfectly doable. I only do it FA on and do well enough for my lazy approach - I got up to Medusas without swarms, and don't have the stamina to fight Hydras anyway.