Cut the stem end off the pepperoncini and carefully scrape out the seeds. Set aside.
Beat the cream cheese in the bowl of a mixer with the paddle attachment. Add the crab and continue to mix. Add the Cajun seasoning, hot sauce, and thyme and mix until blended. Place the mixture into a pastry bag and pipe into the seeded pepperoncini. Dip the cream cheese end of the pepperoncini in the chopped parsley before serving and transfer directly to a serving tray.
If you don't have a pastry bag, use a large zipping plastic bag with one corner cut off.