I'd like to compare the number of visitors on all Thursdays (of the last 12 month) in a custom report. How can this be done?
Can't be done.
You could try and compare days of the week across time spans.
But, with your current information at hand, best you can do is export the analytics to Google Docs and then run old-fashioned filters to bring out the results based on what day of the week you want to compare against.