I use this particular character as an example, and he's one of several- I'm not saying I like Drizzt as a character (he was ok in Crystal Shard, but quickly became D&D's version of the Chuck Norris meme, lol). For example, in the first Gord the Rogue book, it's explained that Gord's training gave him a +1 to hit and damage with a sword (I want to say a long sword, but it's been awhile). That's not a big deal, but at the time it was outside the rules (it wasn't until 2e's Al Qadim that a Thief Kit that granted Weapon Specialization was published). There was no way, outside of asking the DM, to gain this feature.
If you wanted your Thief to be better at fighting, your options were: go up levels or dual-class into a Fighter (if possible). Or get a magic weapon or something, lol.
The reason for all of this, is, of course, that a given NPC is the hero of their own story, which only occasionally intersects with the PC's. Just as a PC could, in the course of adventuring, gain unique traits and abilities, so can NPC's- even if these things aren't in the rulebooks.
This is doubly true if the NPC is featured in a book or story, or even a special adventure. In the Conan adventure, Conan is a Fighter and a Thief and isn't treated as a dual-classed character. It's just who he is.
Miltiades is an undead warrior revived by a God to accompany some adventurers. Shal Bal managed to use a single Wish to gain something like 9 points of Strength. Shield of Innocence is an Orog Paladin of Torm. Elminster is a Chosen of Mystra and wields a spellfire-like ability granted to him by the Goddess. Dragonbait is a lizardman Paladin (later clarified to be a unique race that didn't become a playable option until 2e's Complete Book of Humanoids).
The DM isn't bound to the same rules as players when creating characters to fill their campaign settings. They can be as mundane or fantastic as the DM allows.