I think what you're saying is that if we want a coherent, nontrivial definition of "under our control" then the most natural one is "everything that depends on the neural signals from your brain". But this definition, while relatively clean from the outside, doesn't correspond to what we ordinarily mean; for example, if you have a mental illness, this would suggest that "stop having that illness!!" is reasonable advice, because your illness is "under your control".
I don't know enough neuroscience to give this a physical backing, but there are certain conscious decisions or mental moves that feel like they're very much under my control, and I'd say the things under my control are just those, plus the things I can reliably affect using them. I think the correct intuitive definition of "locus of control" is "those things you can do if you want to".
Regarding causal arrows between your IQ and your thoughts, I don't think this is a well-defined query. Causality is entirely about hypothetical interventions; to say "your way of thinking affects your IQ" is just to say that if I was to change your way of thinking, I could change your IQ.
But how would I change your way of thinking? There has to be an understanding of what is being held constant, or of what range of changes we're talking about. For instance we could change your way of thinking to any that you'd likely reach from different future influences, or to any that people similar to you have had, etc. Normally what we care about is the sort of intervention that we could actually do or draw predictions from, so the first one here is what we mean. And to some degree it's true, your IQ would be changed.
From the other end, what does it mean to say your way of thinking is affected by your IQ? It means if we were to "modify your IQ" without doing anything else to affect your thinking, then your way of thinking would be altered. This seems true, though hard to pin down, since IQ is normally thought of as a scalar, rather than a whole range of phenomena like your "way of thinking". IQ is sort of an amalgam of different abilities and qualities, so if we look closely enough we'll find that IQ can't directly affect anything at all, similarly to how g can't ("it wasn't your IQ that helped you come up with those ideas, it was your working memory, and creativity, and visualization ability!"); but on the other hand if most things that increase IQ make the same sort of difference (eg to academic success) then it's fairly compact and useful to say that IQ affects those things.
Causality with fuzzy concepts is tricky.
Uh.. "stop having that illness!" is reasonable advice. Seek help. Try medication. Enter into psychotherapy. I'm not sure what you are objecting to there?
This is a sort-of response to this post.
"Things under your control" (more generally, free will) is an ill-defined concept: you are an entity within physics; all of your actions and thoughts are fully determined by physical processes in your brain. Here, I will assume that "things under your control" are any things that are controlled by your brain, since it is a consistent definition, and it's what people usually mean when they talk about things under one's control.
So, you may be interested in the question: how much one's success depends on his thoughts and actions (i.e. things that are controlled by his brain) vs. how it depends on the circumstances/environment (i.e. things that aren't)? Another formulation: how you can change one's life outcomes if you could alter neural signals emitted by his brain?
We also could draw the borderline somewhere else; maybe add physical traits, like height or attractiveness to the "internal factors" category, or maybe assign some brain parts to the "external factors" category. The question whether your life success is mostly determined by "internal factors" or "external factors" would remain valid -- and we call it "internal vs. external locus of control" question.
But what happens when we assign IQ to the "external factors" category?
IQ test is an attempt to measure some value, which is supposed to be a measure of something like quality of one's thinking process. So, this value can be seen as a function IQ(brain), which maps brains to numbers. Your thoughts and actions don't depend on your IQ score; IQ score depends on your thoughts. That's how the causal arrows are arranged.
But it's possible to ask, what can we change if we can change brain, conditional on the fixed IQ score. But then the "free will" intuition collapses; it's hard to imagine what we could change if our thought processes were restricted in some weird way. And such question is hardly practical, in my opinion. It's true that one can measure his IQ, and that IQ rarely changes much, but still: if you consider IQ fixed and external factor out of your control, then you must consider your thought processes restricted to some set and therefore, not totally under your control.
Define "things under your control" as "things under your brain neural signals' control", and then we will have a consistent definition, and we will find ourselves in the common sense domain. Declare that everything is under control of physics, and then we will, again, have a consistent definition of "things under your control" (empty set), and now we are in the physics domain. Both cases are quite intuitive.
But when we consider IQ external, "things under your control" are your thoughts, but not quite; we can control our thoughts, but only as long as they reside on some weird manifold of thought-space. I guess that in such case, your "free will" intuitions would be disrupted. Basically, we can't slice some part of what we call "personality" out and still have our intuitions about personality and free will sane.
TL; DR: You shouldn't consider any functions of your current brain state as external when discussing locus of control, since such viewpoint is actually counterintuitive and, therefore, makes you prone to errors.