__lll_lock_wait allowing only one thread to work

I don't think there is a bug in your code. I checked the Xpress source code and the whole XPRSdestroyprob() function is indeed guarded by a global lock. I am investigating whether this can be relaxed but at the moment I don't think there is anything you can do to avoid this lock.

One option might be to not destroy problems on a thread but instead reuse them as much as possible without explicitly destroying them. For example, you could store the problem instance in a thread-local variable. Then, at the time you would call XPRScreateprob() you check whether the thread-local instance is non-NULL, you reuse that instance. Otherwise you create a new instance (and store it in the thread-local variable for later use). At the end of the thread you check whether the thread local variable is non-NULL and if so you destroy the respective problem instance.

Another option would be to use a problem pool and instead of XPRSdestroyprob() but problems into that pool. That may however cause unwanted inter-thread-dependencies in your application.

One question that is still open: are your threads hammering on XPRSdestroyprob()? This function should usually be reasonably fast but if there are many threads that call this frequently or at the same time then I can see how you can observe the slowdown you report.