Web of Science has no integration of thesauri in its database. Instead Eugene Garfield and ISI 1990 invented something called Keywords plus which Garfield explains here:

Essays of an Information Scientist: Journalology, KeyWords Plus, and other Essays, Vol:13, p.295, 1990 Current Contents, #32, p.3-7, August 6, 1990 [PDF]

Here's an explanation of how KeyWords plus works:

”KeyWords Plus supplies additional search terms extracted from the titles of articles cited by authors in their bibliographies and footnotes”.

"Records without references won't have KW+ – but more specifically, articles whose references are not linked to source items. In addition, it may be that those with very few linked references won't generate good candidates for KW+ either".

Here's an example of a record retrieved when searching for Hormone replacement therapy. Look at field KeyWords Plus and you find one hit on Hormone replacement therapy in bold.

To check if this KeyWords Plus phrase is extracted from the references list click on Cited references and search for the phrase. In this screen shot you'll see it exists:

Beside of this KeyWords Plus Web of Science also has author keywords.

Conclusion: I haven't evaluated the KeyWords Plus yet, but as it's uncontrolled terms it's impossible to make exhaustive, refined subject searches in Web of Science.