Anthrax was on Megaforce (Sony) and then Island (Atlantic) in 1985.
Slayer was on Def Jam (Universal) in 1986.
Metallica started on Megaforce (Sony) then to Elektra in 1986 (Warner).
Megadeth was on Capital (EMI) by 1986.
So there's big 4 thrash because there was big 4 record labels. They were all American bands that were given the proper promotion and distribution during a golden era.
Coroner and Kreator were on Noise, an independent German label. Destruction and Sodom were on Steamhammer, another indy German label. Basically big 4 is just an awareness thing created by the industry at the time.