The former Love Island star, 26, was found dead in a park near his north London home on March 15 after taking his own life.
McKenna, who dated Thalassitis for around seven months last year, was in Nashville, Tennessee, recording new music when his funeral took place earlier this month.
She gave her first interview since his death on Tuesday’s Loose Women, telling viewers that music has allowed her to process her emotions.
“I’m doing OK thank you,” she said. “I’ve actually just come back from Nashville because I’ve been putting everything into my work and writing music. I feel Nashville is my happy place.
“Writing music is like therapy for me because it’s like writing everything down in a diary. It’s my way of getting all my emotions and feelings out on paper.”
Her appearance comes one month after she pulled out of the show, hours after telling fans she had been left in “complete shock” at Thalassitis’ death.
McKenna initially faced a backlash from cruel trolls for not commenting publicly as tributes poured in from co-stars and friends.
She later released a statement on Instagram which read: “Sorry I haven’t been on social media but I’m in complete shock and trying to come to terms with this. I can't believe I am even writing this post.
“My thoughts and prayers are with Mike's family. Rest in peace Mike. x.”
Thalassitis’ manager Dave Read said he urged the reality TV star to seek therapy after struggling to cope with his split from McKenna in July 2018.
“He was quieter than usual and I suggested he needed to see someone to get help,” Read told new! magazine.
"The break-up hit him really hard and he was down for a few months. He was very open about how he was feeling, telling me he was struggling with his emotions and we spoke about it on numerous occasions.”
Thalassitis’ funeral was attended by a slew of stars including his Love Island co-stars Jonny Mitchell and Montana Brown who read a eulogy.
Loose Women is on ITV, weekdays at 12:30pm