I once came across an explanation that the thigh is a metaphor for the balls (I probably heard that on the Overly Sarcastic Productions channel). I can only find this with a quick search :

Enorches (“with balls”), with reference to his fertility, or “in the testicles” in reference to Zeus’ sewing the baby Dionysus “into his thigh”, understood to mean his testicles).

https://en.wikipedia.org/wiki/Dionysus under epithets