Source file missing from 2.6.1.tar.gz release
http://bitbucket.org/tortoisehg/targz/downloads/TortoiseHg-2.6.1.tar.gz pointed by http://tortoisehg.bitbucket.org/download/source.html as the current 2.6.1 source release is missing the
thg script (the main one). You can't install it as it is.
thg directly from the repository and putting it in root of package makes it work again.