There are many useful tricks - like cosine distance.
In contrast, softmax has a very deep grounding in statistical physics - where it is called the Boltzmann distribution. In fact, this connection between statistical physics and machine learning was so fundamental that it was a key part of the 2024 Nobel Prize in Physics awarded to Hopfield and Hinton.
Study of thermodynamics gave rise to many concepts in information theory and statistics, but I wouldn't say that there is any direct connection per se between thermodynamics and any field where statistics or information theory are applicable. And the reasoning behind the 2024 Nobel Prize in Physics was... quite innovative.