We explore a novel approach to achieving anisotropic thermal photon tunneling, inspired by the concept of parity-time symmetry in quantum physics. Our method leverages the modulation of constitutive optical parameters, oscillating between loss and gain regimes. This modulation reveals a variety of distinct effects in thermal photon behavior and dispersion. Specifically, we identify complex tunneling modes through gain-loss engineering, which include thermal photonic defect states and Fermi-arc-like phenomena, which surpass those achievable through traditional polariton engineering. Our research also elucidates the laws governing the evolution of radiative energy in the presence of gain and loss interactions, and highlights the unexpected inefficacy of gain in enhancing thermal photon energy transport compared to systems characterized solely by loss. This study not only broadens our understanding of thermal photon tunneling but also establishes a versatile platform for manipulating photon energy transport, with potential applications in thermal management, heat science, and the development of advanced energy devices.