MIDI Thru does not work with the iPad Pro 12.9". I just verified this by using the iPad Pro versus an iPad Mini 4 with two different keyboards: a Yamaha Piaggero NP-32, and a Yamaha Montage 7.
On the iPad Mini 4, MIDI Thru works as expected with both keyboards. On the iPad Pro 12.9", MIDI Thru does not work with either keyboard. I used the same Cubasis project on both iPads.
Cubasis 2.3, iOS 11 (latest version). I’m hoping this bug report will make it to the people who can fix it