Thoroughly Lost is an in-game achievement in Run 3.
When trying to do this achievement, one acceptable strategy is to not care about this achievement, but just trying to play Run 3 normally. Eventually, you will find that you have gotten this achievement.
If you want to get this achievement fast, one way is to complete the M-Tunnel, The River, the Winter Games, and the W-Tunnel. If you would rather do the Box Storage Area than the Winter Games, then you can do that, while only doing 1 more level.