The COVID-19 pandemic is inevitably changing the world in a dramatic way, and the role of computed tomography (CT) scans can be pivotal for the prognosis of COVID-19 patients. Since the start of the pandemic, great care has been given to the relationship between interstitial pneumonia caused by the infection and the onset of thromboembolic phenomena. In this preliminary study, we collected n = 20 CT scans from the Polyclinic of Bari, all from patients positive with COVID-19, nine of which developed pulmonary thromboembolism (PTE). For eight CT scans, we obtained masks of the lesions caused by the infection, annotated by expert radiologists; whereas for the other four CT scans, we obtained masks of the lungs (including both healthy parenchyma and lesions). We developed a deep learning-based segmentation model that utilizes convolutional neural networks (CNNs) in order to accurately segment the lung and lesions. By considering the images from publicly available datasets, we also realized a training set composed of 32 CT scans and a validation set of 10 CT scans. The results obtained from the segmentation task are promising, allowing to reach a Dice coefficient higher than 97%, posing the basis for analysis concerning the assessment of PTE onset. We characterized the segmented region in order to individuate radiomic features that can be useful for the prognosis of PTE. Out of 919 extracted radiomic features, we found that 109 present different distributions according to the Mann–Whitney U test with corrected p-values less than 0.01. Lastly, nine uncorrelated features were retained that can be exploited to realize a prognostic signature.