Only Guile does that, AFAIK. And Chicken's threads are perfectly usable in most cases. And you can always fork(2), if you really want to.

And as I read it sometime ago while searching for Scheme implementations with native threads, Cheney on the MTA is inherently single threaded.

Not necessarily, it can be extended to support multithreading:

https://github.com/justinethier/cyclone

Cyclone is a new Scheme with native threads that uses cheney.

There are ways to use native threads with Chicken; it's a bit hairy, though.

Chicken 5, the upcoming partial rewrite, is worth keeping an eye on.