You see, we Muslims count days from sunset to sunset. So
Thursday night is actually a holy day for Muslims (since it
actually counts as Friday, which is a holy day).
Long ago, Malay parents would tell their children unholy stories
about demons and ghosts lurking around on Thursday nights. They
would do so in a bid to prevent the kids from playing around on
such a holy night and to instead spend it in prayer.
These stories became oft-repeated and the myth of Thursday
nights being haunted arose.
And somehow this myth got into the SAF. I guess that's how that
stuff about the recruit being killed specifically on a Thursday
night came about. 
And yes, I find it dumb to use unholy stories to scare kids into
respecting a holy night. 
ehhhh... read the link i gave.
some guy investigated, its got nothing to do with muslim
ghosts.
the guy died from a stomach rupture..