I've nevet seen a hymnal with thin paper. They are generally rather rugged because they are designed to hold up to long term use by multiple people.

Is it common where you are to print them with thin paper?

Most of those used to be combined bible/hymnals, but the most recent (2013) hymnal of the mainstream protestant churches is so large that it is also printed on thin paper (maybe not the thinnest?).

Those combined bible/hymnals are usually personal, not for multiple people, and they're most common among denominations that only use the 150 psalms and a small number of hymns on texts directly from the bible, although I do have one with the bible and the entire Liedboek voor de Kerken (from 1973). Normal hymnals usually used to be printed on normal paper here.