We crossed two femtosecond extreme ultraviolet (EUV) pulses on a 100 nm thick amorphous membrane of SiO2, generating transient gratings (TGs) of light intensity with 84 nm spatial periodicity. The EUV TG excitation gave rise to the efficient generation of Lamb waves (LWs) and of a temperature grating, whose dynamics was studied at two different initial sample temperatures, 50 and 300 K. The short penetration depth of the EUV excitation pulses turned into a strong non-uniformity in the actual temperature as a function of the depth from the sample surface. At the lowest temperature, the LW frequencies presented a sizable shift in time due to the thermal equilibration along the membrane thickness. The analysis of the EUV TG waveforms allowed us to determine the decay time of the thermal grating and the sound attenuation coefficient, both found in reasonable agreement with the literature. The results show how EUV TG can provide information of non-equilibrium thermoelastic dynamics in thin membranes transparent to optical radiation.