You can build the convex hull of the polygons, then select by location the triangles that "are within" the convex hull and remove them. In order to create convex hull, you can use the minimum bounding geometry tool (see this post for more details).
As a remark, a quick and dirty method to achieve your "thiessen polygons" for polygons is to 1) densify the polygons with a distance smaller than the distance between two polygons, 2) convert polygon vertices to points, 3) create thiessen polygons for points and 4) dissolve based on the attributes of the original ID of the polygons. But, this is not an exact solution.
