They are succesfully assimilated creatures, so part of their minds, which was cleared from memory and filled with psionics, must be enough to think... if they werent totally controlled by the Yogg-Saron and Forgotten One(However they semm to posses inteligence after all, since after FO's death they still succesfully control much of Azjol-Nerub. However most likely they were just taken under control of Yogg-Saron(especially because of their battlecry: Shur'nab, Shur'nab... Yogg-Saron!(Also - they have a language)