Tiefling's are supposed to get the thaumaturgy spell as a free cantrip, but it isn't automatically added to your spells, at least it hasn't added for my Tiefling Sorcerer.

Check below your spells in the character sheet. There should a "Racial trait" section, where the cantrip is.

Oh, thanks. I feel stupid now haha. Shouldn't it still be in your spell list though? Well, known spells list.

Well technically class spellcasting and racial spellcasting are separate things. That's why the builder keeps them in separate sections.

Alright, thanks!