Good morning. I am going to assume you mean a WYSE 3040 with ThinOS, and your question is whether the Fortigate VPN is supported. If I am incorrect please correct me.
The only VPN client in ThinOS is a very basic version of the OpenConnect client. I have not seen it used against Fortigate which uses a proprietary client.
Most users on ThinOS who are connecting to brokered resources (Citrix,Vmware, Microsoft) leverage the broker provided TLS connection (Netscaler, Security Server, RDS Gateway) respectively for secure connections from external of the network.
Have a great day
Dell wyse 3040 don't support FortiGate VPN Connection, the version of the VPN Client in the Wyse 3040 is to old is version 5.01 and the last version is 8.X
if you want to to connect your wyse to the vpn you have to use a custom vpn server.