Margery never reveals this "thing" to her readers. We are given the impression that this thing is some sort of horrible sin that she is afraid to confess, because of the magnitude of the sin's imperfection. Whether or not her narrator/scribe is aware of the nature of this sin, we are also not told. We could assume that he might know some of the nature of the sin, since he records her many references to this thing. It is also safe to assume that eventually, she either confessed this sin to Christ, or they discussed it in some capacity in one of her mystical experiences, because Jesus says, "I, the same God, forgive you your sins to the uttermost point" ( Kempe 51). God is omniscient. He knows of her sin, and forgives her for it, yet we are not told whether or not she confessed this sin openly. Margery says "Then she confessed to this priest all of her sins, as near as her memory would serve her, from her childhood up until that hour, and received her penance very joyfully" (Kempe 119). Here, it is stated that Margery has confessed all of her sins, which we could assume includes this "one thing," even though the earlier quotations demonstrate that she states that she had never revealed this thing "in all her life." Taking in account that this narrative is dictated by Margery looking back on her life, this earlier quotation could be an indication that she never revealed this thing to anyone publically.
Exit Margery's confessional here.