I'm encountering some problem when I am playing some note on the Thinner string of my guitar.

Played one by one, they sound good, but when the two string are ringing together they are some sort of weird oscillating harmonics going over.

Through spectogram you really see something added to the 2 notes.

Also this only happen ( Or is noticeable ) when playing on High gain channel. On Clean it seems okay.

Of course action and intonation, checked! Pup height, checked! Saddle or nuts are okay, string also.

I'm playing a Epi Sg-400 Les Paul custom (Chinese but tight), with a THR5 V2.

Well Any Guess?
That's perfectly normal, it's called "beats" and happens with all types of waves - sound, light, water etc. As two waveforms approach the same wavelength you'll get fast, oscillating interference, the beats will slow down as the two waveforms get closer and closer together and will disappear once the two waves are perfectly matched. Gain will make them more noticeable as there's so many more overtones in the sound, a lot of guitarists actually use beats to help them tune the guitar by ear, and they're also useful for telling when a unison bend is in tune.
Actually called Mark!

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it is normal, between the rythem or treble channel can make it sound different and messing with your amp may make it sound a bit cleaner but as you become more advanced you learn to get past it and use it, messing higher on the fretboard and playing multiple strings at once can make some really sick sounds. I noticed it too when id be learning a song and it would just sound horrible then id see someone else play it a bit faster and in tempo and id freak out over how great it sounds. its normal yeah, keep playin, n hang loose