I have thin, not-very-long hair too, and I find that if I do tiny twists at the front of my head and around into my ponytail I get very few escapees from the ponytail. I don’t usually hairspray, but I suspect twists+hairspray, would make a fairly sturdy ponytail/bun.
I’m not totally sure how to describe it, but it isn’t braids.
I just take a thin bit of hair near my part (at the front edge of my hair), twist it into a strand (call that #1), then take another bit of hair lower down, twist that into a strand (call that #2), and cross #2 over #1 (which “locks down” #1), then I add the next bit of hair to #1 and twist. Cross #1 over #2, then add hair to #2, twist, cross over #1 ect. and keep going like that till I get to the back of my head. Once I get lower down on my head (like behind my ears) I usually quit adding more hair or switch to non-french braid to avoid having the twists getting very thick. Then I use a barette to keep the first side’s hair twist in place while I do the other side. When I go to put my hair in a ponytail I undo the barrette and just use the hair tie to hold the twists in.
The important things for me are that the lower strand on your head has to be over the higher one to keep the smaller hairs from escaping, and you have to twist the bit of hair you are adding with the bit it’s being added to or the small hairs from higher on your head will still escape (i.e. I can’t just add the hair in like a french braid).
Sorry if this is confusing, I’ve never found a good tutorial for it!