Each thread has its own message queue, and messages sent to a window arrive in the queue of the thread that created the window. If you create your plugin window yourself, you can create it in a separate thread, and that way you will have complete control over its message pump.
An alternative solution (which imho is better), is to only have OpenGL rendering in a separate thread. All OpenGL calls must occur in the thread that created the OpenGL context. However, you can create a window in one thread (your application main thread), but create the OpenGL context in another thread. That way the original application message pumps stays intact, and in your rendering thread you can loop forever doing rendering (with calls to SwapBuffers to vsync).
The main problem with that second solution is that communication between the plugin WindowProc and the rendering loop must take into account threading (ie. use locks when accessing shared memory). However since the message pump is separate from rendering, it can be simultaneous, and your message handling is as responsive as it can get.