The phrase "with a thrill" is correct and usable in written English.
It is often used to express enthusiasm or excitement. For example, "I opened the gift with a thrill of anticipation".
Something deeply mysterious with a thrill of danger?
Maybe Father Paul had dropped dead, Crystal thought with a thrill of fear.
I recognized with a thrill of repugnance an old red sweater of Ruth's, angora-fuzzy.
Why concoct a supernatural tale if you're not going to come through with a thrill or two?
But at the same time — and deeply unsettlingly — she thinks, with a "thrill of triumph," that "already I am someone he could not have imagined".
When finally I saw it, I watched with a thrill of proud recognition, as if the local silver band had triumphed at the Albert Hall.
He secretly goes to the man Lena hates most in the world: her uncle Cal Rusch, a venture capitalist with a "thrill-seeking noggin," a Madoff aspect, a hilltop mansion in Pacific Heights and a vast fortune.
The plunging home course for the Americans has been dubbed the Grizzly, with a thrill-seeker's design that was compared to a "rock 'n' roll dance, always in motion" by the architect, Bernhard Russi.
Certainly he was fired with a thrilling spatial imagination.
She rewarded his decision with a thrilling performance.
The Mets turned the tables with a thrilling seventh-inning rally.
