Clickbank has made leaps with conversion tracking for affiliates. If an affiliate is asking you to put there code into your thank you page directly, you can do a few things:
1. Find out what tracking system there using, very few tracking platforms actually show the conversion page URL. Mainly the big 3 do, i.e. google analytics, KISS, and clicky. If there not using that you should be good.
2. Have them integrate conversion tracking through clickbanks system. If they google setup affiliate conversion tracking with clickbank, they will find the way to integrate it straight in the clickbank affiliate dashboard.
3. If you trust them, and know them. Do it, if theyre a high value affiliate.
I am a clickbank affiliate and there are very few reasons why I've had to put my tracking code directly on a vendors page, outside of the clickbank interface.