What could this thick thing coming out from donor area the 3rd night after my transplant? (Photos)

It appears to be oozing and scaling, which can be part of the healing process following hair transplantation.  i would soak this area and try to get this off using soap and water.  You don't need this present after three days.  This can trap bacteria and moisture.  It is unlikely to cause an infection at this point, but it will begin to have an odor.  Remove this stuff even if you must use a fine tooth comb to lift the exudate off the donor area.  

Follow up with your doctor and follow your doctor's recommendations. Post-operative care instructions differ between surgeons.

First 3 days salin and bleeding is normal. But in some cases it can be longer or it can be infected. Specially if it is continue after 2-3 weeks you should speak with your doctor.

The protocol we recommend is that the day after surgery our pts return for instruction on how to perform a hair wash. Starting the next day the pt performs the hair wash themselves twice a day for the next 4 days.  The frequency of the hair wash does not really allow for scab and scale build up.  If thick crusts remain keep the foamy shampoo on the scalp for longer periods of time to loosen/soften the scabs.  This could be 5 to 10 minutes then rinse. After the 5th day the pads of the fingers may be used to massage the scabs off (but only after it they are sufficiently moisten by foamy shampoo). You should contact your surgeon for their recommendations concerning the appearance of your scalp. 

The yellow fluid is serum which should be washed off before it forms crust (scabs) that then would stay around for up to a month,