The Mellanox ConnectX-3 should not be physicaly aware that it is connected to a Thunderbolt adapter and should linkup on the PCIe with the adapter.
So I see two options to why this is not working:
1. The Sonnet adapter is running some sort of enforcement on the device ID or type as reported in the PCI configuration header.
2. The ConnectX3 did linkup but you just can see it on your machine.
to check if this is #2 you should try and use an lspci tool as suggested in the thread.
One other option is that the ConnectX-3 device you have supports PCIe Gen3, we have seen in the past legacy PCIe root ports that didn't have forward compatability with Gen3 devices.
Let's start checking if the device is recognized using lspci like tool and take it from there...