Metallic thallium have so low vapour pressure, that thallium spectral lamps like that of Osram, have their arctubes enclosed in a metal cylinder for heat conversion.
In contrast: Thallium iodide have so high vapour pressure that green MH lamps usually don't have heat reflective coatings at the end of their arctubes, can run up and hot restrike very fast compared to white MH lamps of the same wattage.
How this is the happens?

Bare metal is just different material than a compound containing it. The bare atoms tend to attract each other way stronger than the molecules of thallium iodine. The valence electrons like to pair orbits with others. In a bare metal it leads to forming the crystalline structure, but when paired with a halogen atom (I), the electrons are extremely happy so not much forces to other molecules. So easy to release with just a little shake (aka not that high temperature), hence the high vapor pressure...

So why sodium iodide have lower vapor pressure than metallic sodium? (In HPS lamps, the sodium vaporizes easily, while in my BLV Colorlite HIT-DE 70W Orange lamp, it takes very long time to vaporize, and the arctube have heat reflective coatings at the ends).

Very good question Dor!  Such thinking would make you a good physical chemist.

The vapour pressure of a liquid is influenced by the intermolecular (or atomic) forces that exist within that element or compound.  These are characterised by the Clausius-Clapeyron equation that links the vapour pressure and temperature of different materials.

Just because a pure element has a high or low vapour pressure does not mean that its compounds will share such properties.  For instance even though both sodium and thallium metals contain bare atoms, their atomic interactions are entirely different due to their greatly differing size and electronic structure.  Sodium ions form rather weak bonds between themselves, but very strong bonds with the halogen and between their halide salts.  For thallium the inverse is true.

My knowledge is not deep enough to explain the precise electronic differences between thallium halide and sodium halide salts, I will try to research further because it is a most interesting topic.