We use the cosmo-OWLS suite of cosmological hydrodynamical simulations, which includes different galactic feedback models, to predict the cross-correlation signal between weak gravitational lensing and the thermal Sunyaev-Zeldovich (tSZ) y-parameter. The predictions are compared to the recent detection reported by van Waerbeke and collaborators. The simulations reproduce the weak lensing-tSZ cross-correlation, ξyk (θ), well. The uncertainty arising from different possible feedback models appears to be important on small scales only ($\theta \lesssim 10$ arcmin), while the amplitude of the correlation on all scales is sensitive to cosmological parameters that control the growth rate of structure (such as $σ_8$, $Ω_m$ and $Ω_b$). This study confirms our previous claim (in Ma et al.) that a significant proportion of the signal originates from the diffuse gas component in low-mass ($M_{\rm{halo}} \lesssim 10^{14} M_{⊙}$) clusters as well as from the region beyond the virial radius. We estimate that approximately 20$\%$ of the detected signal comes from low-mass clusters, which corresponds to about 30$\%$ of the baryon density of the Universe. The simulations also suggest that more than half of the baryons in the Universe are in the form of diffuse gas outside halos ($\gtrsim 5$ times the virial radius) which is not hot or dense enough to produce a significant tSZ signal or be observed by X-ray experiments. Finally, we show that future high-resolution tSZ-lensing cross-correlation observations will serve as a powerful tool for discriminating between different galactic feedback models.