We analytically and numerically study the self-propulsion of a thermoelectrophoretic colloidal Janus swimmer. We show that experimentally significant propulsion velocities may be achieved using relatively small temperature gradients that couple to monovalent ions dissolved in the suspending medium. Our thin screening-layer theory reveals that the thermoelectric effect is strictly due to the nonlinear coupling between the out-of-equilibrium ion concentrations and electric potential distributions, which stem from the temperature heterogeneity, to the equilibrium electrostatic screening profiles. We obtain excellent agreement between our theory and finite-element calculations in the appropriate limits. We use the latter to also explore the effect of nonlinearity for large Debye lengths, as well as study the flow field around such a swimmer. Our results provide a solid theoretical framework, against which further experiments can be realized and analyzed.