Thanksgiving is about the only American Civil Holiday left that has not be completely secularized (de-Christianized), and we celebrate it to keep the Christian founding of America alive. The Orthodox missionary imperative is to affirm the good wherever you find it and build on it, even if the good is not yet complete. For that reason we celebrate Thanksgiving every year with a Divine Liturgy, most often, but not exclusively, on the eve of the holiday.
The Saint we commemorate in the Divine Liturgy is St. Katherine.