It's normal - this is what one site had to say about it.
6) This question is for the men - what happens if I get an erection during the Thai massage therapy session ?
Some males choose not to have Thai therapeutic massage simply because they worry that they may have an erection during the massage session. Or when they begin to be massaged, they are not able to unwind and chill out throughout the massage session due to this understandable anxiety. But it really is pointless to become embarrassed as it is perfectly normal for males to have an erection sometimes during a non-sexual, Asian massage therapy session.
Gentle touch by the masseurs fingers given to many parts of the body can activate the parasympathetic central nervous system and so result in a partial or full erection. This subject is discussed during Wat Po Thai massage therapy training and so we fully appreciate the concern and can easily ignore this without any embarrassment. If this is still something which causes anxiety for you and means that you experience difficulty in fully relaxing into your Asian massage then we would suggest you put on a men's swimsuit to wear for the duration of your Thai massage therapy session ,which supplies more support than just loose fitting men's boxers shorts.