Thanksgiving holiday is completely a American holiday and has no religion or Christianity related to it which is why there are some frum families that eat a kosher turkey on thanksgiving day. We yidden are also Americans (for those living in the United States) And need to appreciate the freedom we were given to live openly as frum yidden and dressed as yidden without living in fear.
May we all start to be thankful directly to Hashem for everything we are given 24-7