OK thanks for the responses. I just did some tests --thumping does not happen with boat in gear at dock. Does not happen in neutral. I got boat up to speed, and put engine in neutral (prop was spinning) and no thumping. The thumping DOES seem directly related to the exhaust port being underwater. Hit a wave, and when the stern pushes into the water, thumping gets loud. Over the wave and stern raises above water, thumping disappears. The stern "squats" when underway and this pushes the exhaust port underwater sometimes. Yesterday I had people on board (I usually sail solo) and this may have pushed the stern down a bit more than usual, hence the thumping was a lot worse. Not sure how to fix this ... seems like it would be bad for the engine (backpressure)?
I posted some videos I took today of my engine running while underway, would love if you guys could have a look and let me know if you see anything awry: