We prove that Thompson sampling exhibits $\tilde{O}(σd \sqrt{T} + d r \sqrt{\mathrm{Tr}(Σ_0)})$ Bayesian regret in the linear-Gaussian bandit with a $\mathcal{N}(μ_0, Σ_0)$ prior distribution on the coefficients, where $d$ is the dimension, $T$ is the time horizon, $r$ is the maximum $\ell_2$ norm of the actions, and $σ^2$ is the noise variance. In contrast to existing regret bounds, this shows that to within logarithmic factors, the prior-dependent ``burn-in'' term $d r \sqrt{\mathrm{Tr}(Σ_0)}$ decouples additively from the minimax (long run) regret $σd \sqrt{T}$. Previous regret bounds exhibit a multiplicative dependence on these terms. We establish these results via a new ``elliptical potential'' lemma, and also provide a lower bound indicating that the burn-in term is unavoidable.