In the Local History book section of The Alberta Heritage Digitization Project at
http://www.ourfutureourpast.ca/loc_hist/I got 2 'hits' with Lake Thelma. #1 ... homestead at Lake Thelma near Coronation. #2 someone was teaching at Lake Thelma School.
Then on Alberta GenWeb in the section Alberta Places Old and New [at least I think that is the section title] there is
Lake Thelma at the Legal Land Description 9-35-12-W4 in Paintearth County.