Thanksgiving is derived from the Christian religion, but is not a Christian holiday. Nor is it a Judeo-Christian, or Biblical, or Abrahamic, or holiday. It is a holiday of giving thanks to God, so it is, in the very broadest sense, theistic. Mostly, though, it is a National holiday, a holiday of the American civil religion.
I think it is normal for people to want all their religions to line up and support one another - our spiritual faith, our civil faith, our community faith, our family faith. But I think it is safe to say that for everyone, they do not line up with one another all the time. For Americans, living in an increasingly diverse society, the opportunities for conflict between our several religions - especially that devoted to God and that devoted to nation - become increasingly likely.
Thanksgiving is the closest point of connection between the theistic faith of nearly all Americans and the civil faith of nearly all Americans. But they remain different.