TLDR, yes it was the Yuuzhan Vong, and the source of this information is the Outbound Flight novel by Timothy Zahn.

First from the Wikipedia page for Grand Admiral Thrawn

[...] In the novel Outbound Flight by Timothy Zahn, the Chiss knew of the Yuuzhan Vong long before the Republic or Empire. [...] Sidious had foreseen this new alien threat and saw it critical to prevent the large Jedi and Republic citizen populace from being captured and interrogated by the Vong. Such an occurrence would give the Vong a critical informational advantage over the Republic and the Chiss, perhaps throwing off chances of a successful defense against the alien species. [...] When Thrawn eventually returned to the Unknown Regions, having been made a Grand Admiral by Emperor Palpatine, he carved out a huge empire, going by the name Empire of the Hand. When Luke and Mara Jade Skywalker investigated Thrawn's personal fortress, they encountered the Imperial officer who had first brought Thrawn to the Empire - Admiral Voss Parck. Parck indicated that Thrawn's campaign against the Republic was not solely out of a personal desire to gain power, but to prepare the galaxy against a coming threat - likely the Vong. Later, after the rediscovery of the Outbound Flight remains, Luke and Mara Jade Skywalker speculated that part of the reason behind the Chiss desire for an excuse to wage war on the Vagaari was because the Vagaari had already made contact with the threat (probably the Yuuzhan Vong) and had allied with them.

Also in Wookieepedia's Empire of the Hand article cite the same book, and subtly indicate the reason of it's creation through a link in a mention of an "unknown and powerful threat" that point to the Yuuzhan Vong article. The Peacekeeper of the Unknown Regions section cites pirates and Ssi-ruuk as others threats, but they are not the purpose of the Empire of the Hand.