Does Thorald Gray-Mane return to Whiterun after completing Stormcloak questline?

No, Thorald does not return to Whiterun. When you free him he makes a comment that it would be too dangerous for him and his family to be seen in public, and that he would be better off hiding from the Thalmor.

Later, you may see him in Windhelm enlisting with the Stormcloks under Galmor Stone-Fist’s command.

You can read more from Thorald’s wiki article