Encapsulated phase change materials (EPCMs) offer high energy density for thermal storage but are highly susceptible to fatigue and fracture driven by significant volume changes during phase transitions. We will present the development of a coupled thermo-mechanical model based on an axisymmetric peridynamic framework designed to predict crack initiation and propagation within the thin-shell geometries of EPCMs. To overcome the computational intensity of non-local modelling, we implement a multigrid discretisation strategy [1], enabling high-resolution local refinement in critical damage zones. The mechanical response is governed by an axisymmetric ordinary state-based peridynamic (OSBPD) model [2], while the complex thermal field, including abrupt thermophysical variations, is captured using an axisymmetric bond-based heat transfer model integrated with an enthalpy method [3,4]. Thermo-mechanical coupling is rigorously incorporated via eigenstrain terms within the OSBPD formulation. Furthermore, we investigate the internal cavity strategy for stress mitigation, addressing the non-linear trade-offs between shell thickness and cavity fraction. An equivalent volumetric approach is employed to simulate cavity filling dynamics during expansion. The framework is validated against Finite Element Method (FEM) benchmarks, demonstrating high fidelity in both displacement and temperature fields. This study concludes by identifying an optimal design window, providing critical numerical guidelines for the structural optimisation and long-term reliability of EPCMs configurations.