Well, the thing is 'Th' ligatures aren't used anywhere traditionally. They were popularized in the early digital period by Adobe, who put them on their serif typefaces as standard. Before that they were unknown except in a few odd cases, often on script typefaces, although one early typeface that had one is Palatino Italic, by a German type designer, Hermann Zapf-perhaps that's where Adobe got the idea from. On page 9 of the Adobe Garamond Pro specimen book there's a specimen of the original sixteenth-century type it's based on, which didn't have a Th ligature. So really there are no rules known to me. The reason to use them, if you like them, is that some people feel they make the 'T' and the 'h' fit together more neatly with no awkward gap. Some people find them distracting. I'm aware of the German rule that ligatures can't join across morpheme boundaries, but that doesn't seem like it would normally be relevant here because you're changing case from 'T' to 'h'.
As an illustration of them being new, here's Beatrice Warde's 1926 article on Garamond fonts, which starting on page 41 shows "Garamond" revivals from six different companies-none have 'Th' ligatures. Paul Shaw also describes the "Th" ligature as "ahistoric" in his very good book Revival Type.