I would agree -- it is an awkward use of the word "thin." I, too, selected "slim" as it seemed the best choice if referring to fit. And if it refers to weight (ie, not warm enough) it would be unusual to state it in this way. One would more likely say, "is not heavy enough" or "is too lightweight for this weather."
Probably you would say "too tight". Thin -- I do not think you would say it to a dress, unless you refer to its material physically. Slim -- that you can say of clothes (the pants are slim fit), but even that I would not say in general, like in the sentence suggested. Note that I am not a native speaker though...
I agree with Gerry, although the meaning would vary with the context. If the speaker is shivering, it means thin - but strictly speaking they are talking about the cloth, not the jacket as a whole. If they are trying on the jacket, it means slim.
Dictionaries give both meanings. Wordreference is useful in this case.