I would not use the first. "thought" is past; "may" is present. The most normal and neutral choice after "I thought (that)" and similar phrases in the past tense is "might" (or "could" or "would", etc.), not "may" (or "can" or "will", etc.).
I knew that he would agree.
I knew that he will agree.
I thought he might go. I thought he might have gone.
I thought he may go. I thought he may have gone.
I said I could have waited another 15 minutes.
I said I can have waited another 15 minutes.
![Tongue Tied [:S]](/emoticons/emotion-7.gif)
:(
CJ