I've never used it myself, but fwiw Gauche also advertises support for native threads. SRFI-18 threads are wrapped around pthreads on Unixy platforms, and Windows threads on Windows. http://practical-scheme.net/gauche/man/gauche-refe_106.html
Ah, I was not clear enough: native SMP threads, as in each thread accessing the same shared memory heap. Gauche allocates a new VM for each thread ... ah, but I see it has data synchronization primitives. I believe it has moved forward since the last time I checked it, years ago.
Thanks for the tip!
Repeated from the other reply on Guile: Hmmm, now I'll have to narrow the statement to "The only native code compiling Scheme that I know of" (which is harder to do).