Obviously, the various fantasy settings may have their own, special holidays, for example in the Forgotten Realms, there are five annual holidays falling between the months, like Midwinter oder Midsummer, and a quadriennal holiday in Shieldmeet.
But for holding a Thanksgiving- or Christmas-Themed session, has Wizards of the Coast ever published a Thanksgiving or Christmas theme adventure? It does not have to be a physical book. Digital content, for example from charity events, would be OK too.
With holiday-themed I mean one that uses multiple trappings, figures or traditions of the real world holiday so it will capture the holiday's feel and allow the players to get that it is a homage to the holiday, without me having to tell them. Using Christmas for example, those that are typically associated with christmas, like decorated coniferous trees, reindeer, a D&D version of Santa Claus, singing carols, gingerbread or gift-giving. It does not need to use and for piety reason probably should not use the Christian god, saints or the birth of Jesus.