Have you run it without the shell on?

Perhaps by seeing the mechanism working you can see what might be making the thumping noise, or be able to more accurately hear where in the mechanism it is coming from. 

Not the axles

It's the axle gears.  Very common on the proto 2000 models.   If this has the same drive as the Athearn models, you can use those as a replacement.

Here is a link>   https://www.trainworld.com/manufacturers/athearn/ready-to-roll-ho-scale/parts-for-new-style-knuckle-couplers-see-mchenry-couplers/HO-DRIVE-AXLE-GEAR-SD40-2-6-60024/

Axles

It can be very difficult to see if the central axle gears are split, but if you are getting a thumping sound, they probably are. I assume in your clean-up you checked to be sure that wires or other internal parts weren't getting into contact with the motor, driveshafts, flywheels and so on.

How easy did wheels slide into axels

If they slide in real easy it’s the most likely candidate for being split. Like others have said it’s more likely a split axle causing the thumping. 

Simon

Agree with gears..

Nelson is correct... A couple years ago I had the issue and replaced with Athearn gears.. problem solved.

Split Axles

One of the Axles does slide very easy, I will look at this very soon.

Many thanks.

Alan.

It's a common problem

It's a common problem with P2K four axle locos. I've had to fix my share of them. A piece of advice, replace all four while you have it apart. There's no telling when the others might split and there has not been any word of problems with the new Athearn replacements.

Don

As many have said

it is the axles.  Bruce the DCC guy gave a simple test a while back.  Basically, if you hold the wheel on one side and can move the other wheel, the axle is cracked.  I am convinced it is a fatigue issue driven by the interference fit required between the metal shaft and the plastic axle.  P2K had a big problem because they increased the interference, thinking that would improve performance.  A tighter fit leads to higher stress in the plastic.  Higher stressed parts are sustible to cyclic fatigue.  

It's is really a design configuration fault.  In model railroad applications there are several parts that have a gear press fit on a metal shaft that have a failure rate of nearly 100%.  As an example, the old Bachmann idler gears on their pancake motor drives.  They cracked at a very high rate.  A similar gear on a Life Like pancake motor drive are not sustible to cracks.  In this case the metal shaft is affixed to the side wall and the gear loosely slips on the shaft, not experiencing the cyclic stress.  These axles fit a similar stress pattern.  

My experience in repairing Athearn BB locos over the last twenty years shows a similar problem on those locos.  It is rare that axles were not cracked.  Athearn BB axles live longer, but they still crack.  So now I just replace the axles as part of the repair process.  Starting the clock over.