Today is Wednesday. On Monday, I thought we would go to a bar on Tuesday. (Yes, this is correct.)

Perfect. Since it's Wednesday, you could also say, "I thought we would go to a bar yesterday." Also, you don't need to say "On Monday" because we understand the logic. You can't possibly think today that you will go to a bar yesterday, so we know it was a previous thought you had. Great job!

Do you mean that there was some kind of plan or expectation for the week's schedule? And you were surprised (or disappointed!) that you didn't go to the bar yesterday as expected? If so, then your sentence is ok, but in fact it would be more normal to say: 'I thought we were going to a bar yesterday.' (Why didn't we go? It was on our itinerary and I was looking forward to it)