In astronomy, interferometry of light collected by separate telescopes is often performed by physically bringing the optical paths together in the form of Young's double-slit experiment. Optical loss severely limits the efficiency of this so-called direct detection method, motivating the fundamental question of whether one can achieve a comparable performance using separate optical measurements at the two telescopes before combining the measurement results. Using quantum mechanics and estimation theory, here I show that any such spatially local measurement scheme, such as heterodyne detection, is fundamentally inferior to coherently nonlocal measurements, such as direct detection, for estimating the mutual coherence of bipartite thermal light when the average photon flux is low. This surprising result reveals an overlooked signature of quantum nonlocality in a classic optics experiment.