According to standard medical information, there should be no problem, but you never know, so try to find a site that deals specifically with drug-drug interactions to make sure this won't be a problem.
If the thermogenic supplement contains ephedra -- and I am sure it does -- you're better off not mixing the two. Chances are nothing untoward will happen, but increased serotonin levels have an excitatory effect, which may be enhanced by the Zoloft.
Bottom line: in mild doses, thermogenic supplements will probably do no harm, but in higher doses, you may be taking a chance. In any event, do it right way: with time and sweat.