You are trying to insert the table name (not the database). You appear to be mixing that up with SQL parameters; string templating and providing SQL parameters for your query are two entirely separate operations.
You'd have to use string formatting separately to build the query string:
cursor.execute("INSERT INTO %s VALUES (?,?,?,?,?,?,?,?,?,?,?,?)" % thedb, data)
or perhaps a little clearer to illustrate what is going on:
query = "INSERT INTO %s VALUES (?,?,?,?,?,?,?,?,?,?,?,?)" % thedb
cursor.execute(query, data)
Note that this opens you up to a possible SQL injection vector. Perhaps you should look into a decent SQL library instead; SQLAlchemy lets you build SQL queries from Python calls (among other tasks).
%rinstead of%s, or you're gonna have problems if the table name contains special characters.