The evidence that the brain is where thinking happens is overwhelming, the minor influence of the rest of the body notwithstanding. There are no other theories.
https://en.wikipedia.org/wiki/Philosophy_of_mind
Plenty of examples of theories listed there, no? Picking a random one: "Open individualism states that individual personal identity is an illusion and all individual conscious minds are in reality the same being".
https://en.wikipedia.org/wiki/Extended_mind_thesis
"the extended mind thesis says that the mind does not exclusively reside in the brain or even the body, but extends into the physical world"
To state it explicitly, I am not saying I believe in these alternative theories. I am also not stating anything about their probabilities. I just want to be accurate in my understanding, which is that multiple theories do exist and none of them have been proven or disproven. It is not known whether you only need a brain to think, or how much other regions like the nervous system spread throughout the body play a crucial role for "thoughts" to form.
If you discard a theory just because you judge there not to be sufficient evidence, you're working from a belief, and not from scientific reason.
In this particular thread, we're not even coming from "thinking" or "mind", but from sentience -- the stated idea that the "brain can feel pain", as brain alone (!). Depending on which physical regions and matter you include in "brain", it doesn't even have any structures that according to the current scientific consensus provide or relay perceptive data. Unless you believe in one of the many theories that place the mind outside of the physical structures of the brain.