Your sentence is entirely correct because of something called scope (Skopus, although that article is both a bit technical and not a good introduction to the concept). The idea is that nur can only restrict what occurs after it. Because abends appears to the left of nur, the interpretation only in the evening is excluded.
A simple example of scope in action:
Ich esse nur sonntags Brot.
Sunday is the only day I eat bread.
Ich esse sonntags nur Brot.
Bread is the only food I eat on Sunday.
The same kind of paraphrase for the original sentence:
Das Büro ist abends nur am Donnerstag offen.
Thursday is the only day that the office is open in the evening.
As the sentence is written, the phrase nur am Donnerstag restricts the proposition das Büro ist abends offen. This is exactly what was intended.
Das Büro ist abends (time of day) nur am Donnerstag (day of the week) offen.
has a marked (non-neutral) word order. German word order is highly complex and determined by the interplay of various factors. This often makes it hard to understand why a certain word order is perceived as marked. However, in this case, the problem is quite clear: It is because the specific (time of day) precedes the general (day of the week).
However, the unmarked order
Das Büro ist nur am Donnerstag abends geöffnet.
is quite close to the wholly different
Das Büro ist nur am Donnerstagabend geöffnet.
Thursday evening is the only time that the office is open.
which has only one adverbial of time combining day and time of day. I assume that is the reason why people have suggested moving one adverbial into first position in order to improve the sentence.
Nur am Donnerstag ist das Büro abends geöffnet. (unmarked)
Abends ist das Büro nur am Donnerstag geöffnet. (marked)
I interpreted the question to be more about word order and scope regularities than about how to potentially improve the sentence. If the latter was the main intent, I see no reason not to get more creative – in my opinion, it is better to write around certain problems than to craft a sentence that has a technically correct meaning, but will take people more time to process because of subtleties (e.g. of word order and scope).
Wenn Sie abends kommen möchten, ist das nur am Donnerstag möglich.