Force is a vector quantity as the forces follow the parallelogram law of addition of vectors. (or, the triangle law of addition). Thrust is a component of force acting on a body in the direction perpendicular to the surface of the body or fluid. Thrust follows vector addition rule.
Pressure does not follow this vector addition rule. That is why pressure is not treated as a vector. It is treated as a scalar.
In a liquid or in a gas, there is a weight of a column of fluid acting on the layer below it, this is the weight. It has a definite direction, vertically downwards.
In a liquid or in a gas, the pressure exerted at any point is same in all directions. Pressure in two directions do not add like forces in two directions.
There is no component of pressure to be calculated for any direction. But for a force , we calculate the component along other directions.