We nonperturbatively compute Rényi entropies for strip-shaped subregions in the three-dimensional O(4) model at finite density on the lattice. By using a dual variable representation and a tailored worm algorithm, we circumvent the sign problem when sampling the grand canonical ensemble. In the limit of large subregions, we also establish a direct, quantitative relationship between the derivative of entanglement entropy with respect to the size of the entangling region and the thermal entropy density for general quantum field theories, providing a new way to study their thermodynamics. We corroborate this argument with our lattice results by demonstrating that, in the appropriate limit, the derivative of entanglement entropy satisfies the same Maxwell relation as the thermal entropy density.

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