I want to add a remote thermostat that is rated for 20 Amps. I used a clamp amp meter and read 21.5 amps will it be OK? What is the safety factor of a thermostat?

Thermostats most frequently run on 24 volts so could you explain your situation further? What brand and model are you trying to use?

Electric baseboard heat?

To answer your question as posted... no.

If power goes through Thermostat. You may want to add a contactor to carry the Load, Then you could use other thermostats and load would not need to run to thermostat. Just control wires, Could use the current conductors(#10 or larger for control)
Over 20 amps, you would need at least #10 wiring.