THEY, or "them", is a symbolic reference to an intelligent and strategic group of higher power. The name may be an abbreviation for "The Hierachy Enslaving You". The term could be applied to the The Cabal, or someone or something even higher.
The animation series Pinky & The Brain episode "T.H.E.Y." featured this as a parody of the Illuminati featuring many prominent leaders including Bill Clinton, where T.H.E.Y. was an abbreviation of The Horde of Ecumenical Yodlers.