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I also caught this as a secondary pet while in a battle with a Roach in Booty Bay. Having the same problem (as with Crimson Moth) where the capture doesn't count for the Eastern Kingdoms Safari achievement though. Sadface!
I tried killing the Thundering Exiles last night but it did NOT work. Luckily I checked back this afternoon and found two spawned at 2.45pm ST, cloudy but not raining. No rare but at least got an uncommon, much better than a kick in the pants.
Easily one of my new favourites! It is so tiny and adorable, plus I was lucky enough to get a rare quality one in my first battle!
They hang out in the mountainous areas of Loch Modan, I found mine right down in the southern end of the Valley of Kings.