Thanks a lot for your answers!!
Pointing me to the datasheet and telling me what to look for with 
"on-state voltage" I could now figure out more what I have to search 
for. As you said all thyristors I could find have a voltage drop of 
around 1V so it doesn't seem to make sense for me to use them in my 12V 
and relatively low current application. I was now thinking about using 
alternatively a MOSFET and somehow create a self-holding circuit for it.
My problem in general is that I want to build a one cable solution 
meaning the switching MOSFET and its controlling circuit should sit on 
the cable that powers (+) the load without any direct connection to 
ground despite through the load itself. Can someone think of a way to do 
this? Maybe with a charge pump and using the on state resistance of the 
MOSFET?
Also please excuse my late reply. I invested some time getting familiar 
with LTspice and trying to come up with a solution myself.
I'm looking forward to possible answers :-)

Here is a basic schematic of the problem. The idea is that the switch 
should be not conductive at power up so the µC can boot. Then once 
triggered by the µC, the switch should stay conductive until power is 
cut.