From Muppet Wiki

A Screaming Thing, as described by Statler, is featured in episode 201 of The Muppet Show. The creatue is green with pink feathers and limbs, and possesses three legs which rotate like a bicycle wheel.

The Thing, who is mentally frazzled despite his calm outward demeanor, exhausts himself singing "The Windmills of Your Mind" early in the show. He then runs off the balcony where Statler and Waldorf sit. He is later carried offstage by some pigs and treated at Veterinarian's Hospital.