I'm very much a noob when it comes to Forth and I've asked myself the same question before. I think threaded is generic enough to not necessarily dictate the data structure. It more or less means that a word (if it isn't being defined and added to the dictionary (not dictionary as in Python dictionary, but what they call the list of words in Forth)) it will read from the stack, modify the stack, and then call the next word.

Someone on here or on the Forth subreddit should be able to answer though.