The line properties of the legend components cannot be changes independently from the line objects they represent in the plot. So, the easiest solution is to change the line properties from within the plot.
h = plot(x,y, 'LineWidth', 1.5);
% or
h.LineWidth = 1.5;
If you want the change the legend representation without changing the line property, you can copy the line and replace its XData and YData with NaN values so it doesn't appear in the plot. Then you can change it's LineWidth property and create the legend using the new line's handle.
ax = axes();
hold on
h = plot(x,y, 'b-o');
hLeg = copyobj(h, ax);
set(hLeg, 'XData', NaN, 'YData', NaN, 'LineWidth', 1.5)
legend(hLeg)
