There just isn't a board state where Thassa would be a creature and you aren't winning regardless. I wouldn't take a Steel out as they serve different purposes (pumping +2/+2 for a faster clock is necessary), and unblockable isn't really the reason to run Steel. Also, putting Steel on a Geist is just bonkers.

The Scry 1 is awesome, but I don't know what it would be better than, and it's another card that doesn't help before Zur gets out there and swinging.