We present the theoretical results for the Majorana band structure and thermal transport properties in the Kitaev honeycomb model under a staggered magnetic field in addition to a uniform one. The Majorana band structure is asymmetrically modulated in momentum space, and the valley degree of freedom is activated and controlled by the magnitudes and directions of the uniform and staggered magnetic fields; as a result, the Majorana excitation is either gapped or gapless, the latter of which in general has Majorana Fermi surfaces, in contrast to the point nodes in the absence of the fields. We show that the asymmetric deformation of the Majorana band induces a nonlinear (nonreciprocal) thermal transport, in addition to the linear one. The field dependence of the linear thermal current is correlated with the magnitude of the Majorana gap, while that of the nonlinear thermal current is associated with the asymmetry of the Majorana excitation spectra. We show the estimates of the thermal currents and discuss that the linear response is experimentally measurable, whereas future improvement is required for the observation of the nonlinear one. We also discuss how the thermal currents are modulated by other additional effects of the magnetic field and contributions from conventional magnons, latter of which are expected in heterostructures to realize an internal staggered magnetic field.