I've never tried that as it's not generally done. Staining is usually done before sealing.
You'll have to remove the Thompson's before you stain unless it has been long enough that the Thompson's is no longer effective. To test to see if the surface will take stain, spray some water on it. If it beads up, it will not accept a stain.
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Not the original solvent based Thompsons Water Seal. Latex primer is water based and oil and water don't mix; they would seperate.
Civialian Conservation Corp
Yes.
If you paint over the "weathered" paint, it will chip and cause the stain to come off. Also, the stain needs a clean sanded surface in order for the wood to absorb it. Otherwise, there is no reason to use stain.
Can you put stain in polyurethane to darken the color?