I just noticed something.
When I go into Session and Startup and I quit Thunar there, Firefox then opens the download location with Nemo just as it is supposed to. But this is not a permanent fix. After restarting Firefox, it reverts right back to Thunar and now Thunar is not even shown in Session and Startup. I have a feeling this has something to do with a daemon running for Thunar but I’m not sure.
Perhaps this can help someone here to come closer to the solution?