What is the reason for a fuse next to a thermostat?

The fan doesn't produce heat, but if the fan never blows, the heating element might overheat and start a fire.

Thermostats fail. Safety regulations generally work on a "single fault" principle. Meaning no single fault in a product should lead to a safety hazard. In this case, the thermal fuse provides a backup to prevent a fire in case the thermostat fails (or, as @winny points out, in case the fan is mechanically blocked).

In addition to the fused closed thermostat issue already mentioned, the other issue that can happen with heaters is the thermostat can be arranged such that it measures the ambient air not the temperature inside the heater itself.

This can mean the thing will call for heat but if the fan is not turning or is blocked by that carelessly discarded garment..... (imaginations run wild here)... the coil and internals will get really hot, really quickly. As such a second internal protection device that is more sensitive to the heater coil temperature is required.

Having said that, the proximity of the thermostat and the fuse in that particular heater does not look like it lends itself to that characteristic.

Note that as drawn, if the thermostat opens the fan keeps running to cool the element/enclosure. This might happen if you partially block the airflow or return the hot air into the heater, even if the temperature control realises the room is cold. Then the thermostat will reset and everything is fine (your room just heats up more slowly than you expect). It also protects from failures/complete blockages of airflow.

For the thermal fuse to blow, on the other hand, something must be really wrong. This should be investigated rather than returning to an operating condition, so the fuse will open permanently. In practice most users would throw out the fan and buy a new one rather than investigating (this isn't something that will trouble the manufacturer).