There are several factors that can contribute to this problem. I'll list some from the most likely to least likely:
1) Gripping the ball. It's more difficult than it may sound. If you feel like you *have* to grip the ball with your thumb, your hole may in fact be too loose
. Ideally, your thumb will be completely relaxed from the moment you set up all the way through the follow-through.
My coach did something for me that was both rather comical, and yet at the same time, effective. He put some very tacky tape in my thumbhole, which actually caused the ball to hold on for too long. After bowling this way for a number of frames, I told him about it, and he took it out. My next time up, I brought the ball back and immediately dropped it behind me; my thumb was now completely relaxed. If you're developing callouses or blisters, this is likely to be the problem.
2) Drilling. There could be something wrong with the thumbhole size (too small OR too big), or the pitch. You'll need to talk to your Pro Shop
guy about that one.
3) Hand position. Personally, if I bring my hand around the ball too early, I have a tendency to drop it short. If I keep my hand behind the ball longer, it remains in my hand until I'm ready to release it. I suppose it's also possible that improper hand position could leave your thumb locked in the hole for too long. Not knowing anything about the drilling of the ball or your technique, however, it would be impossible for me to say for sure.