Thrush is a fungal infection, typically of the mucous membranes, with any of the Candida (a form of yeast) species. Candida albicans is the most common form. Since Candida is the most common causative agent another term that you may hear interchanged with "thrush" is candidiasis.
Two common sites of infection are the mouth (oral candidiasis) and the vagina (vaginal candidiasis, aka a "yeast" infection). The reason that yeast typically infects mucous membranes as opposed to regular skin, is that yeast needs a moist dark environment. Yeast is a form of fungus, so liken it to turning over a rotting log and exposing the bottom which has been dark and damp and there is generally all different types of fungus growing there.
There are instances in the human body where one can develop fungal infections on the skin rather than mucous membranes, but these are typically situations where the criteria of a dark moist environment are met. For instance some women with large breasts can develop fungal growth in the inframammary fold underneath the breast. For this reason it could be possible, but not common, to have fungal growth on ones penis. Particularly if the penis is not circumcised, and there is retained moisture underneath the foreskin. If you are worried about a lesion on your penis, I would not just assume that it is candida, but rather make an appointment with your primary care physician
to get it looked at. I wish you all the best.