You could try it as-is, you could also drop the pylons entirely, you could try it in panel mode...
How much difference is there in the results? You could also extend the winglet to the center of the nacelle -- that might help close the gap in thin-surface mode.
Flow goes through the nacelles, so the thin-surface representation may actually be better than the solid-body thick-surface blob. You could also build up a flow-through duct to consider (if this is a turbofan).
The nacelles will provide somewhat of a winglet effect for the pylons.
Pylons are usually designed to be very short (perhaps this is an UDF, so they must be long) -- but they are generally not designed to be a lifting or trimming surface. If I was designing one, I would probably try to design it to carry no aerodynamic load in cruise.
Rob