Amazon doesn't select the category, the publisher does.
I've published a few short stories myself and I seemed to believe I had done it myself too.
They put it in the category they think will sell best. I say you should trust them.
'They' I'm assuming that Indy has a real publisher and he's not doing it himself... If that is true, I do question the thinking process of Indy's publisher; because the intent of the publisher is to make it easy to market and sell the book.
Inspirational is probably a smaller and more focused niche where you can stand out more easily. If you're in Thrillers you have to compete with NYT bestsellers.
Yes Inspirational is a more focused group... but (and this is why I question the publisher) Inspirational don't even hint thriller. Its like going to the show to watch The Godfather and it turns out to be Dumb and Dumber.
You just cannot assume people are going to find the book based on content of the book. They need to know if the book is a thriller, a horror or even a comedy.
If the book was listed in thriller a reader *scrolling* the thriller genre will find the book. Having said that I could scroll the thriller genre a million times and I will not find Indy's book, and I'm not into Inspirational (therefore I'm not wasting my time and scrolling the genre).
As for competing against NYT bestseller... I don't think this should even matter. I also believe Amazon positions the books based on Amazon sales.