I used some of that thin brick for behind a wood stove, in a cabin I once owned. I was thinking they would retain heat, as well as be fire barrier.
I bought a special compound to attach them to the wall, (maybe epoxy or resin based), rather than a standard mortar mix, and they stuck fine to bare OSB for over 20 years.
You apply this compound quite thick, and then press the brick firmly into it. What squeezes out between the bricks acts to support them, as well, you don't have to grout between them later..Bonus!
Sorry, it's been so long since I did that I can't recall the product, but a little research might reward you..